I had to use a "custom" component in the kendoFilterMenu, so I tried the "ui" that is documented in the grid api, and it works.
I think you should add it to the kendoFilterMenu configuration section.
Example: https://dojo.telerik.com/@foxontherock/UBiVIQef
missing documentation here: https://docs.telerik.com/kendo-ui/api/javascript/ui/filtermenu#configuration