Workaround in OnClientBeforeClose (commented):

<telerik:RadWindowManager RenderMode="Lightweight" OnClientClose="OnClientClose"
     OnClientBeforeClose="OnClientBeforeClose" Behaviors="Close, Move, Resize,Maximize"
     ID="RadWindowManager" runat="server" Width="450" Height="400">
    <Windows>
        <telerik:RadWindow RenderMode="Lightweight" ID="RadWindow1" VisibleOnPageLoad="true"
            Title="Wikipedia" _NavigateUrl="http://www.wikipedia.org" IconUrl="wikiFavicon.ico" runat="server">
        </telerik:RadWindow>
    </Windows>
</telerik:RadWindowManager>
<script type="text/javascript">
    function OnClientBeforeClose(oWnd, args) {
        //workaround:
        //oWnd.get_popupElement().style.visibility = "hidden";
    }


    function OnClientClose(oWnd) {
        debugger;
    }
</script>