Thank you for writing.
I have just performed a test with a grid view with couple columns and when the Tab key is pressed while the current cell is in the filtering row, the grid makes the next cell in the same row current. See attached video.
If you continue experiencing such a behavior, please open a new support ticket and attach your project there. Our team will investigate the reasons causing it and will get back to you.
I hope this helps.
the Telerik team