The scrollbar on UWP is blocking the content (including the options button which is also not clickable because of it
Workaround: Add a style for the column header and apply margin to the Options button:
    <ContentPage.Resources>
        <ResourceDictionary>
            <telerikGrid:DataGridColumnHeaderStyle x:Key="headerstyle"
                                           TextColor="Black" OptionsButtonMargin="0,0,20,0" 
                                                   OptionsButtonFontSize="30"
                                           BorderColor="Black" 
                                           BorderThickness="2"/>
        </ResourceDictionary>
    </ContentPage.Resources>
    <Grid>
        <telerikGrid:RadDataGrid ItemsSource="{Binding Items}" BackgroundColor="Red" AutoGenerateColumns="false">
            <telerikGrid:RadDataGrid.Columns>
                <telerikGrid:DataGridTextColumn PropertyName="Country" HeaderStyle="{StaticResource headerstyle}"/>
                <telerikGrid:DataGridTextColumn PropertyName="Capital" HeaderStyle="{StaticResource headerstyle}"/>
            </telerikGrid:RadDataGrid.Columns>
        </telerikGrid:RadDataGrid>
    </Grid>