To properly warn users before they delete an item from a RadGrid within a RadAjaxPanel you need to add a OnClientClick client side event to the delete button as follows.
<asp:Button ID="btnDelete" runat="server" Text="Delete" CommandName="DeleteItem" CausesValidation="false" OnClientClick="if(!confirm('Warning: This City will be permanently deleted. Would you still like to continue?'))return false;" />
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