If you want to use the checkbox set selector to filter your data grid, you have to create a custom search flow. So then you can use the checkbox set selector to fill an assosication and use this assosition in the data source of your data grid.
However, the search filters of a data grid also contains checkboxes. If you want this, add a dropdown searchfield in your datagrid, double click it and set 'Allow multi-select’ to yes:
Hope this helps!