To handle your request for adding a scenario where a MultiColumnComboBox is used as a RadGrid column filter, I recommend opening a Feature Request on our Telerik UI for ASP.NET AJAX Feedback Portal. This will allow our development team to consider implementing this feature in future releases, and other users can also vote for it, showing their interest and need for this functionality. You can access the portal and submit your request here: Telerik Feedback Portal.
We have an example using a client-side binding that offers "search" capability for the RadGrid, e.g. the user can search the keyword across multiple columns. You can find the example attached.