The filter mechanism of RadGrid will consider no-filtering applied if all the filter items are selected, and thus the performance will increase by avoiding of running additional logic.
In regards to your second question, I assume you are looking for a behavior like the one presented in the Make "Check All" to include only displayed list options in Excel-like filtering
Code Library article. If that is the case, you can give the sample a try and see if that works for you.
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