Improvement is on the way. You might want to look at and upvote https://forum.mendix.com/link/ideas/393
You can select in the way you described for enumerations (as you have learned) and also for attributes in associated entities. So if you have an entity called Order with an associated entity Customer, in a datagrid of Orders, you can search for one or more customers with a drop down list.
If you want to search on an attribute on the Order entity that is not an enumeration you won’t be able to do that with out of the box (or app store) tools, as far as I know. You would need to build a custom capability for that.
One thing to watch out for when you are using drop down lists of associated entities: if the list of possible associated values is large, you may see performance impacts as Mendix will send all of the possible values for the associated entity to the browser.
Hope that helps,