Please refer to the attached sample project and follow the steps illustrated on the gif file.

Workaround: you can control which items to be closed:

public RadForm1()
{
    InitializeComponent();
    ContextMenuService menuService = this.radDock1.GetService<ContextMenuService>();
    menuService.ContextMenuDisplaying += menuService_ContextMenuDisplaying;
}

RadDockLocalizationProvider localizationProvider = RadDockLocalizationProvider.CurrentProvider;

private void menuService_ContextMenuDisplaying(object sender, ContextMenuDisplayingEventArgs e)
{
    foreach (RadItem item in e.MenuItems)
    {
        if (item.Text == localizationProvider.GetLocalizedString(RadDockStringId.ContextMenuCloseAll))
        {
            item.Click += item_ClickContextMenuCloseAll;
        }
        else if (item.Text == localizationProvider.GetLocalizedString(RadDockStringId.ContextMenuCloseAllButThis))
        {
            item.Click += item_ClickContextMenuCloseAllButThis;
        }
    }
}

private void item_ClickContextMenuCloseAllButThis(object sender, EventArgs e)
{
    foreach (DockWindow dw in this.radDock1.DockWindows)
    {
        if (dw == this.radDock1.ActiveWindow)
        {
            continue;
        }
        dw.CloseAction = DockWindowCloseAction.Hide;
        dw.Close();
    }
}

private void item_ClickContextMenuCloseAll(object sender, EventArgs e)
{
    foreach (DockWindow dw in this.radDock1.DockWindows)
    {
        dw.CloseAction = DockWindowCloseAction.Hide;
        dw.Close();
    }
}