Thanks for your reply! I do have the grid configured for menu filtering. It seems as though the filterable.UI option does not work on grid foreign key columns, but seems to work on other types of columns.
For example, if I have the following columns:
column.Bound(o => o.FCOProductId).Filterable(f => f.UI("customFilter")).Title("ProductId");
column.ForeignKey(o => o.ComponentId, Model.AvailableFormulaComponents, nameof(SelectListItem.Value), nameof(SelectListItem.Text)).Filterable(f => f.UI("customFilter")).Title("Component").Width(300);