Hey Umais,
Have you tried editing the 'GridForeignKey' Editor Template (~/Shared/EditorTemplates/) ?
You just have to set .OptionLabel property as following code:
@model object
@(
Html.Kendo().DropDownListFor(m => m)
.OptionLabel("Please Select ...")
.BindTo((SelectList)ViewData[ViewData.TemplateInfo.GetFullHtmlFieldName("") + "_Data"])
)
That worked for me, hope that helps :)
Cheers