The described issue is observable in the latest (55) version of Google Chrome. Their newly introduced support for pointer events interfered with our internal logic for the Kendo UI Menu, which in turn leads to the undesired behavior.
The issue is already fixed, and you can expect the working version with our next 2017 R1 release, scheduled for the third week of January.
Meanwhile you can use the following workaround - handle the columnMenuInit event, get access to the menu, and focus an item in the Filter sub-menu programmatically on open:
I am sorry for any inconvenience caused.
Telerik by Progress