To reproduce:

private void radButton1_Click(object sender, EventArgs e)
{
    Application.Exit();
}

private void Form1_FormClosing(object sender, FormClosingEventArgs e)
{
    RadMessageBox.Show("Do you want to exit?", "Confirmation", MessageBoxButtons.YesNo);
}


Workaround: Show the RadMessageBox first and then call the Application.Exit method according to the DialogResult.

DECLINED: 
When Application.Exit() is called it iterates through all forms and for each of them calls the FormClosing event. Currently the RadMessageBox is shown in a new form. So in this case during the iterating forms collection a new form is added and this causes the exception "Collection was modified; enumeration operation may not execute.". 
This is expected behavior and there are two possible solutions to prevent application from throwing exception: 
- Use this.Close(); to close the application.
- Make your checks, show RadMessageBox and after that, if needed call Application.Exit();