I can't speak for the telerik developers, but I can share my experience.
I would certainly not say that you are doing anything "wrong". However, If you are building a widget that is based on a User Control (.ascx file) I would suggest that you build and test it first with a standard asp.net web form page.
You should still be able instantiate a content manager or use the Fluent API as long as you import the appropriate namespaces. This will allow you to test the front-end functionality on a page without having to register it inside Sitefinity.
Once I get it working well enough then I'll move on and install it using the toolbox.
You will however need to use the widget inside sitefinity if you wish to test things like the widget control editor or anything that needs a live sitefinity context (such as retrieving a content item via the Url, etc.).
If you do need the full context of Sitefinity you could also save a step by registering the widget in the toolbox
using the config file (check the "Maually adding/managing controls through configurations
" section at bottom of that page).
I hope this is helpful!