I am having the same issue(using 2014 Q1 version). If you set FilterCheckListEnableLoadOnDemand = "true" in ColumnCreated Event, the filter menu is still empty and FilterCheckListItemsRequested event not being fired when click the Filter Imagebutton. However, if you try to create a static column in Web form and set the FilterCheckListEnableLoadOnDemand to true(which shows mostly same for most online demo), it works.
The problem we both have is that grid column is generated dynamically so I have to set the FilterCheckListEnableLoadOnDemand programmable in code behind(as recommend: ColumnCreated event), however most filter attribute of a GridBoundColumn works such as FilterDelay/CurrentFilterFunction but not for FilterCheckListEnableLoadOnDemand.
Please advise or provide a short demo. Thank you!