Could I change the blank text to a meanful one (for example “all data”) for the first options of select box? The select filter is created by #connector_select_filter.

It can be done only through code modifications
In ext/dhtmlxgrid_filter.js you can locate and update the next code block

dhtmlXGridObject.prototype._loadSelectOptins=function(t,c){ var l=this.collectValues(c); var v=t.value; t.innerHTML=""; t.options[0]=new Option("","");