Bits of .NET

By design, GridViewDataComboBoxColumn does not render (Blank) and (NonBlank) items if the HeaderFilterMode property is set to CheckedList.

However, you can add these items in the HeaderFilterFillItems event handler. Just call the FilterValue.CreateShowBlanksValue and FilterValue.CreateShowNonBlanksValue methods.

<dx:ASPxGridView ID="grid" runat="server" AutoGenerateColumns="False" 
            DataSourceID="dsCategories" KeyFieldName="CategoryID" OnHeaderFilterFillItems="grid_HeaderFilterFillItems">
            <Columns>
                <dx:GridViewDataTextColumn FieldName="CategoryID">
                </dx:GridViewDataTextColumn>
                <dx:GridViewDataTextColumn FieldName="Description">
                </dx:GridViewDataTextColumn>
                <dx:GridViewDataComboBoxColumn FieldName="CategoryNameNull" Caption="Category Name">
                    <Settings HeaderFilterMode="CheckedList" />
                    <PropertiesComboBox DataSourceID="dsCategories" ValueField="CategoryNameNull" TextField="CategoryNameNull" />
                </dx:GridViewDataComboBoxColumn>
            </Columns>
            <Settings ShowHeaderFilterButton="true" />
 </dx:ASPxGridView>

<asp:AccessDataSource ID="dsCategories" runat="server" DataFile="~/App_Data/nwind.mdb"
            SelectCommand="SELECT [CategoryID], [Description], [CategoryNameNull] FROM [Categories]">
</asp:AccessDataSource>

protected void grid_HeaderFilterFillItems(object sender, ASPxGridViewHeaderFilterEventArgs e) 
{
        if (e.Column.FieldName != "CategoryNameNull")
            return;

        e.Values.Insert(0, FilterValue.CreateShowBlanksValue(e.Column, "Blanks"));
        e.Values.Insert(1, FilterValue.CreateShowNonBlanksValue(e.Column, "Non Blanks"));
}