Please refer to the attached sample project and gif file illustrating the problem.

Workaround:
Sub New() 
    InitializeComponent()
    AddHandler Me.RadGridView1.CreateCell, AddressOf RadGridView_CreateCell
End Sub

Public Class CustomGridFilterCellElement
Inherits GridFilterCellElement
    
    Protected Overrides ReadOnly Property ThemeEffectiveType() As Type
        Get
            Return GetType(GridFilterCellElement)
        End Get
    End Property
    Public Sub New(column As GridViewDataColumn, row As GridRowElement)
        MyBase.New(column, row)
    End Sub

    Protected Overrides Function ApplyFormatString(value As Object) As String
        Return CDate(value).ToString("dd.MM.yyyy")
    End Function
End Class