There is no standard XAF control for radio buttons, but there is a Knowledge Base article demonstrating how to create your own custom editor.
For your question about messagebox functionality, I refer you to these discussions:
http://www.devexpress.com/Support/Center/Question/Details/Q365097 http://www.devexpress.com/Support/Center/Question/Details/S33494 https://community.devexpress.com/forums/t/103663.aspx
(The first place to ask any DevExpress-related questions is their Support Center).