Create a FilterControlEmptyMessage property so users can set an empty message in the grid filter textbox, much like the EmptyMessag property of RadTextBoxes.

Ideally make it so this property can be accessed/modified client and server-side.

Forum threads on this topic:
https://www.telerik.com/forums/text-in-filter-box-in-radgrid
https://www.telerik.com/forums/filter-emptymessage