We use data grids with virtual scrolling for inline editing a large number of records. However, when we want to add a new row to the grid it automatically resets the scroll position and doesn't even fire onPageChange event so the records you see do not correspond to the scroll position.
Check the following example (scroll to bottom, click anywhere on the table - this will add a new row - and observe the described problem):
https://stackblitz.com/edit/react-52zzvz?file=app%2Fapp.tsx%3AL78
I think this would be a great feature to have out-of-the-box, and hopefully it's something easy to add from your end. UX-wise, it's really difficult to wrap your head around a non-alphabetized list, especially when the list is used for the special purpose of filtering -- you now have to filter down the list before you can filter the grid itself, which adds more overhead for the user.
I understand that Excel is not the end-all and be-all, but Excel also sorts it by default:
Full discussion can be found here - https://www.telerik.com/forums/how-to-make-gridcolumnmenucheckboxfilter-be-alphabetical-order