Using a RadComboBox for the field names in the RadFilter is not supported out of the box.
I recommend that you enable the scrolling of the context menu if you have so many columns.
However, I will forward your suggestion to our developers and they will consider implementing it in future versions of RadControls for ASP.NET AJAX.
the Telerik team
If you want to get updates on new releases, tips and tricks and sneak peeks at our product labs directly from the developers working on the RadControls for ASP.NET AJAX, subscribe to their blog feed