Well, this is how the the editor control is designed. However, you do have an option to apply a CSS class to the image inserted. Please take a look at the attached image. To add your custom Css Classes to the drop down for applying a CSS class you have to do the follwoing.
1) Download the external templates archive for your version of Sitefinity
2) Map the templates for controls where you want these styles appearing. For example for creating and editing news control templates are located in ~/Sitefinity/Admin/ControlTemplates/News/ and are called NewsItemNew.ascx and NewsItemEdit.ascx. In those templates the RadEditor control has a property EditorCssFile set to point to an empty CSS file:
You can add your styles to this file, and then to your theme. More information on how to map external templates can be found here
. A forum thread explaining the process: Limiting Styles in the Editor
the Telerik team