How do you display different Components when selecting MudRadio's

I would like to implement the functionality when clicking a MudRadio button (in a MudDialog), it should display a different component in the the MudDialog.

I searched for an example and couldn't find what I'm looking for

You need to have a MudRadioGroup to contain your MudRadio buttons. On the MudRadioGroup you have the @bind-SelectedOption event callback exposed. You can set a switch statement on that to dynamically render your other components.

Here is a sample project to accomplish what you're trying to do:

https://try.mudblazor.com/snippet/wOmRucPSpMDbtnAw

ParentComponent.razor

<MudForm>
    <MudRadioGroup @bind-SelectedOption="@SelectedOption">
        <MudRadio Option="@("Add")" Color="Color.Primary">Primary</MudRadio>
        <MudRadio Option="@("Radio 2")" Color="Color.Secondary">Secondary</MudRadio>
        <MudRadio Option="@("Radio 3")">Default</MudRadio>
        <MudRadio Option="@("Radio 4")" Color="Color.Primary" Disabled="true">Disabled</MudRadio>
    </MudRadioGroup>
</MudForm>

@switch(SelectedOption)
{
    case "Add":
        <TestComponent />
    break;
}

<div class="d-flex align-center">
    <MudButton Variant="Variant.Outlined" OnClick="Reset">Reset</MudButton>
    <MudText Class="ml-4">Selected Option: @SelectedOption</MudText>
</div>

@code {
    public string SelectedOption { get; set; }

    private void Reset()
    {
        SelectedOption = null;
    }
}

TestComponent.razor

<h1>Hi from: TestComponent</h1>