Please do the following steps to use French culture in WebGrid.

1. Set the Language mode to inherit from Culture.

<ISWebGrid:WebGrid ID="WebGrid1" runat="server" ...>
    ...
    <LayoutSettings AllowFilter="Yes">
        <TextSettings Language="UseCulture" />
    </LayoutSettings>
</ISWebGrid:WebGrid>

2. Set Culture property to fr-FR.

<ISWebGrid:WebGrid ID="WebGrid1" runat="server" ...>
    ...
    <LayoutSettings AllowFilter="Yes" Culture="fr-FR">
        <TextSettings Language="UseCulture" />
    </LayoutSettings>
</ISWebGrid:WebGrid>

I tested this solution on Filtering.aspx sample file of WebGrid and found that the header filter are coming in French language.

Please give it a spin and let us know how it works in your end.