Additionally I set the DataType property of the GridBoundColumn to System.DateTime but this won't work also because the real type of my DataTable column is not DateTime (it's string by default).
Finally I want to mention that DataFormatString won't format MySqlDateTime type and this is not Telerik-related restriction. For instance this can be avoided when using SqlDataSource instead of MySql connector directly.
You can test the aforementioned statement with the following code (no Telerik controls involved):
MySqlDateTime mysqldate = new MySqlDateTime(DateTime.Today);