Aneez,
I guess that you invoked the filter drop-down list by clicking the filter glyph in the column header. I tried to reproduce this behavior and found out that, in my case, TestComplete recorded a wrong horizontal coordinate of the click --
gridControl.ClickColumnHeaderXY("Quantity", 6, 2); // <-- In my case, 6 is incorrect, it should be something about 60.
Most likely, you have the same in your test. Try using the coordinate that matches the horizontal position of the filter glyph in your case.
In my sample case, I resorted to the trivial try-and-fail procedure and after 2-3 attempts, found out that in my case it should be about 58..62, not 6.
I've registered the issue in our database. Could you please specify which version of the DevExpress WPF grid you are using? I'll add this information to the created bug report.