For now you can manually add the columns to the ExcelFilteredColumns collection when the filters are added in code:

FilterDescriptor fd = new FilterDescriptor("Value", Telerik.WinControls.Data.FilterOperator.IsEqualTo, "B");
fd.IsFilterEditor = true;
radGridView1.FilterDescriptors.Add(fd);

this.radGridView1.MasterTemplate.ExcelFilteredColumns.Add( this.radGridView1.Columns[0] );