This can be done. However, this should require an extensive amount of XAML. By default there is a filter icon that you will click on when the mouse hovers about the ColumnManagerCell. Will your Filter button do the same thing? In any case, you will need to open up the template for the ColumnManagerCell. You can find the default templates and styles installed on your machine:
C:\Program Files (x86)\Xceed\Xceed DataGrid for WPF Professional Edition v4.3\Themes\Aero
You can open up the TableflowView if you are using this view.
Do a search (Ctrl + F) for "TEMPLATE: ColumnManagerCell". From here, you have the template for the ColumnManagerCell. I would recommend copy/pasting the xaml in a resource dictionary file in your application. Then you can play around with the XAML and change the template to your liking.
Developer in Technical Support
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