According to ASPxGridView design, when the CheckedList HeaderFilter is displayed for a column with a filter applied, it displays all possible column values in the CheckedList. This example illustrates how to overcome this behavior and always display only filtered values in the CheckedList.
In this example the ASPxGridView.HeaderFilterFillItems event handler is used to get all available unique column values by iterating through all ASPxGridView rows and removing unnecessary items from the e.Values collection.
Note that this approach would not work if the server-mode binding is used. In this case, get all available unique column values directly from your database server.