The UniGrid only displays the filter if it loads more than 25 items by default. You can change the minimal number of items using the FilterLimit property.
For example:
<cms:UniGrid ID="gridElem" runat="server" GridName="~/CMSModules/ProjectManagement/Controls/UI/ProjectTask/List.xml" FilterLimit="1" />
You can also set up the filter limit globally in web.config using key:
<key name="FilterLimit" value="10" />
Related information:
http://devnet.kentico.com/Knowledge-Base/API-and-Internals/How-to-find-the-location-of-the-code-for-a-page-us.aspx
http://devnet.kentico.com/docs/7_0/controls/index.html?unigrid_definition.htm
-hg-