I saw a couple of versions ago there was a fix for the Keyboard/Keypress being blocked on Dialogs if they existed inside the component.
Doing some testing on that today I have found that it is fixed if the Components are added to a page like:
<RadzenComponents @rendermode="InteractiveServer" />
However if you add these to a Client Project page with:
<RadzenComponents @rendermode="InteractiveAuto" />
The key presses still seem to be disabled.