The recommended solution works fine but late I found that unfortunately there is some error in handling custom filters that prevents in most of our grids correct functioning. 
I enabled custom filtering and assigned event handler. When following conditions are met:
    - grid has no FilterDescriptors
    - e.Handled is set to false in GridViewCustomFilteringEventHandler

then row, for which was set e.Handler = false in custom filtering event handler, is not shown in the grid. If grid has some FilterDescriptor in its FilterDescriptors collections, then everything works as expected.