Had troubles with the Excel-like filters in the RadGrid when trying for the first time. The context menu wouldn't drop down after configuring RadGrid based on this text from the demo:
The demo shows the new Grid FilterType called HeaderContext implemented in Q3 2015. This filtering mode provides look and feel that resembles the filter in Excel. To enable this mode you should set the FilterTypeproperty of RadGrid to HeaderContext and turn on the header context menu (EnableHeaderContextFilterMenu="true").
After troubleshooting and comparing code, found it didn't drop down because EnableHeaderContextMenu="true" was missing from my markup but was is in the demo .aspx code.
It would be helpful to update the demo page and add EnableHeaderContextMenu="true" to the list of required properties.
I think adding more info about the need for this event... OnFilterCheckListItemsRequested="RadGrid1_FilterCheckListItemsRequested" in the same text would also help. The text of As you can see ListBox populated through DataSource displays the values. doesn't highlight the importance of that event to the Excel-like filtering feature.