This function seems bit lengthy but it does the job.
function hightlightFilters(){
var grid = this;
grid.getColModel().forEach(function(column){
var filter = column.filter, add = false;
if(filter){
var condition = filter.condition,
value = filter.value,
value2 = filter.value2;
if(condition == "range"){
if(value.length) add = true;
}
else if(condition == "between"){
if (value!=null || value2 != null) add = true;
}
else if(value != null){
add = true;
}
}
var $cell = grid.getCellHeader({dataIndx: column.dataIndx});
$cell[add? 'addClass':'removeClass']("red");
column.cls = add? "red": "";
});
}
call the above function from beforeFilter event.
beforeFilter: function(evt, ui){
setTimeout( hightlightFilters.bind(this) );
},