We will try to make this easier, but for now I think you would have to loop through the entries in the drop list and explicitly format them.
Below is a code snippet for the BirthDate column in the Employees table of the FilterBar sample.
theFilterBar.WireGrid(this.gridDataBoundGrid1);
//change the dateformats
int col = this.gridDataBoundGrid1.Binder.NameToColIndex("BirthDate");
if(col > -1)
{
DataTable dt = (DataTable) this.gridDataBoundGrid1[1, col].DataSource;
for(int i = 2; i < dt.Rows.Count; ++i)
dt.Rows[i][0] = DateTime.Parse((string) dt.Rows[i][0]).ToString("ddd dd/MM/yyyy");
}