Setting FilterProperty to a value different than Property cause the CloseFilter method to fail.
Example:
I changed this line in your demo and the the filter popup does not close anymore. (Added FilterProperty="CompanyName")
<RadzenDataGridColumn Title="Work Status" Property="WorkStatus" Type="typeof(IEnumerable<string>)" Sortable=true FilterProperty="CompanyName" FilterValue="@selectedWorkStatus" FilterOperator="FilterOperator.Custom" LogicalFilterOperator="@workStatusOperator">
I found that setting FilterPopupRenderMode="PopupRenderMode.OnDemand" on the grid fixes the issue.