Currently, this can be done by using a custom filter cell. Then inside that custom cell, we can render custom operators dropdown and listen on its onChange event, and based on the value to focus the input element.
Another option can be to listen on the onFilterChange event which will be fired when an operator is changed. Then loop over the filters to see if an operator is changed and for which field. Then programmatically focus the filter input.
The main reason why we are not doing this automatically is that there are many use cases in on some of them automatically focusing an input may not be the required one. This is why we have the option for custom cells to allow the developer to fully customize the Grid to cover all business requirements.