Unfortunately the current version of RadGridView does not provide such events. However, you could use the:
grid.ItemsControl.RecordManager.FilterDescription
property, that returns a INotifyPropertyChanged object. You could attach a handler on it to simulate RecordFilteringChanged event. If you want to measure the time needed to populate the distinct values list in the filtering dropdown you could measure the time needed to execute the GetDistinctValues method of the RecordManager class above.
I should not that the upcoming version of RadGridView in a couple of weeks will contain a lot of performance improvements, including improvements in the filtering control, so I would suggest waiting for it before making final decisions about the speed of the control.