The Custom() DataSource has capability to set the initial Page of the grid:

        .PageSize(20)
        .Page(4)

While the Ajax() DataSource does not. It would be nice if it gets added.

Currently, you can use the page() method for local or .Ajax() bound grid:
https://docs.telerik.com/kendo-ui/api/javascript/data/datasource/methods/page

Or query:

https://docs.telerik.com/kendo-ui/api/javascript/data/datasource/methods/query