When the current cell belongs to one of the data rows and you click with the left mouse button over a GridFilterCellElement , the editor is activated. However, if you navigate with the arrow keys, the editor is not activated and the user can not see any indication about the current cell.

Workaround:

private void radGridView1_ViewCellFormatting(object sender,
    Telerik.WinControls.UI.CellFormattingEventArgs e)
{
    GridFilterCellElement filterCell = e.CellElement as GridFilterCellElement;
    if (filterCell != null)
    {
        if (filterCell.IsCurrent)
        {
            filterCell.BorderWidth = 3;
        }
        else
        {
            filterCell.BorderWidth = 1;
        }
    }
}