Hello Markus Berchtold,
The message is not related to the installation of the Sitefinity itself, but to its supporting installers in this case the RadControls for ASP.NET Ajax which means that everything will install fine except the RadControls. The older version of Sitefinity will replaced with the new, except the RadControls.
Therefore once you create a Sitefinity project the Telerik.Web.UI.dll that is referenced from it will be picked up from the Global Assembly Cache (GAC) which in this contains the newer version. This will cause the Sitefinity project to crash in case you don't manually change the reference path to point to the Sitefinity 4.0\Libraries folder where you have installed the SDK.
On the other hand, if you remove your Q3 SP1 version of the RadControls and rerun the installation you will get the correct assembly required by Sitefinity in the GAC and no manual work will be required. However, you will not be able to use the Q3 SP1 version on your machine since we don't offer parallel installation of more than one version.
My recommendation is to do the following. Disregard this message and make sure that your Sitefinity project references the correct version of Telerik.Web.UI -> 2010.3.1109.40
All the best,
the Telerik team