We have provided ASPxFilterControl with the capability to display hierarchical columns.
To bind the control to hierarchical data, use the BindToSource(object obj, bool allowHierarchicalColumns, int maxHierarchyDepth) method, where the allowHierarchicalColumns parameter specifies if the Filter Control can display hierarchical columns. The max hierarchy depth level can be limited by using the maxHierarchyDepth parameter.
You can try this functionality in the WebForms Grid - Filter Control and MVC Grid View - Filter Builder online demos.
Note that the specified links will be available with the next major release 15.2.