The initial "Loading data .... " text can be changed by using the BusyContent property of the RadBusyIndicator. As for changing the labels in the Filtering control in RadGridView, you may follow up this article demonstrating how to localize the predefined strings. You need to use the Keys of the strings and define the text you want to be displayed instead of the default one.
Furthermore, you may take a look at our demo showing how to change language dynamically.
the Telerik team
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to help you get started with RadControls for Silverlight