It is a bit disappointing that Enum filtering is not supported. I would recommend you re-evaluate the need for this type of support given the fact that the Entity Framework now supports Enums (I think as of 4.1?) AND since the RadGrid supports binding against the Entity Data Source.
I think you'll find that Enums are very popular when using the Entity Framework Code First approach. It would be SUPER useful if your development team could find a way to support this. It would make an already great control even greater!