My initial impression is this feature has potential, but is not quite "ready for prime-time". The documentation is certainly lacking, which may be one of the reasons I have this impression. I'm not sure why you would release such a potentially complex and feature-rich item with so little documentation. Anyhow, here are some of my concerns on initial attempt to use the excel-like filtering as I have your other filtering options. Perhaps some of these are real issues and other may simply be that there is no documentation.
1) it would appear that the ChecklistWebServicePath property does not respect "~" notation for the app root. All your other web-service implementations do. This should as well.
2) your online examples do not indicate how to pass context information to the web service being used to bind the Excel-like filtering checklist. And there doesn't appear to be a client-side event handler (or maybe its just not documented) for requesting the checklist filter items. You shouldn't be providing examples that don't include the obvious requirement of passing context info to the web service.
3) How does one access the checklist filter selections sever-side in order to perform custom filtering? In the grid ItemCommand handler, checking the filter command and looking at the CommandArgument, the pair.Second correctly references the column name, but the pair.First is equal to 0. I would like to determine which checklist items are selected, so I can pass that info to my Stored Proc in order to filter the records prior to rebinding. In fact, I would like to be able to access all the excel-like filtering info, in addition to the checklist items in order to perform custom filtering.
4) in the attached, you can see the checklist items are not aligned properly to look good in the skin. This is Office2007, but I have seen similar issues in other skins.
5) When items in the checklist are selected, there is no indication to the user that the column filter is being used. The filter text box remains empty. This makes sense because there wouldn't be room to fill the box with the selected items (nor would you want to). However, there needs to be some way to indicate to the user that the grid is filtered by that column. I would recommend you guys use a different icon (like Excel does) or even a different color for the filter icon to indicate the column is filtered.
6) Per #3 above, there would need to be a way to set the filter values server-side prior to binding (in essence an "initial filter state") so that a grid can be displayed as filtered the first time it is loaded. This can already be done with your built-in filtering and custom filter templates. Its needs to be available through Excel like filtering as well. This would again necessitate the ability to pass context information to the webservice which obtain the checklist items since some would need to be returned already checked and others not.
7) you may want to consider having the checklist items all checked by default. This would indicate the "not filtered" state. This is not a huge deal, but its is how thing are done in Excel and makes sense.