First, I'd like to thank Eva for here sharing: it alllowed me to confirm something that bothered me for a while (which is being unable to translate some UI elements in the CustomFilter Dialog).
Since Eva shared her VB class, I thought I'd share my C# class for those who may need it. You may, of course, modify it as much as you'd like.
Instantiation is as follow. Enjoy!
RadGridLocalizationProvider.CurrentProvider = new LocalFrancais();