In SfDataGrid you can show the filter message while applying filter by creating custom FilterStatausBarControl as in the attached sample and bind the SfDataGrid to DataGrid property of FilterStatusBarControl as like below.
FilterStatusBarControl handles FiltercChanged event of SfDataGrid and updates the FilterText.
FilterStatusBaseControl in application has support to clear and close options and provides support to display tooltip. You can find the ControlTemplate of FilterStatusBar control in sample.
SfDataGrid with FilterStatusBarControl
FilterStatusBar with Tooltip
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