To reproduce: set the DataSource property and enable the sorting for the fields drop-down items:

        Me.RadDataFilter1.SortOrder = SortOrder.Descending
        Me.RadDataFilter1.SortFieldNames = True

When you activate the drop-down editor to select a field name, you will notice that the items are always sorted ascending no matter the SortOrder.

Note: RadDataFilter should allow you to sort the drop-down items in descending order. 

Workaround:

    Private Sub RadForm1_Load(sender As Object, e As EventArgs) Handles MyBase.Load
        AddHandler Me.RadDataFilter1.EditorInitialized, AddressOf EditorInitialized
    End Sub

    Private Sub EditorInitialized(sender As Object, e As Telerik.WinControls.UI.TreeNodeEditorInitializedEventArgs)
        Dim editor As TreeViewDropDownListEditor = TryCast(e.Editor, TreeViewDropDownListEditor)
        If editor IsNot Nothing Then
            Dim element As BaseDropDownListEditorElement = TryCast(editor.EditorElement, BaseDropDownListEditorElement)
            element.ListElement.SortStyle = Telerik.WinControls.Enumerations.SortStyle.Descending           
        End If
    End Sub