To reproduce:

public Form1()
{
    InitializeComponent();
    this.radPropertyGrid1.SelectedObject = this;

    this.radPropertyGrid1.ContextMenuOpening += radPropertyGrid1_ContextMenuOpening;
}

private void radPropertyGrid1_ContextMenuOpening(object sender, Telerik.WinControls.UI.PropertyGridContextMenuOpeningEventArgs e)
{
    foreach (RadItem item in e.Menu.Items)
    {
        if (item.Text == "Sort")
        {
            item.Visibility = ElementVisibility.Collapsed;
            item.PropertyChanged += item_PropertyChanged;
        }
    }
}

Workaround:
private void radPropertyGrid1_ContextMenuOpening(object sender, Telerik.WinControls.UI.PropertyGridContextMenuOpeningEventArgs e)
{
    RadItem item = null;
    for (int i = 0; i < e.Menu.Items.Count; i++)
    {
        item = e.Menu.Items[i];
        if (item.Text=="Sort")
        {
            e.Menu.Items.Remove(item);
        }
    } 
}