I am not sure if this is your issue, but did you make sure to place the widget underneath the data grid that you are referencing? Due to the way it works, it will not work if the widget is placed above. (this was an error that I encountered when using it)
You can ask mendix to fix this. Since this is an mendix appstore item, i guess you can submit a ticket for this. You can also create an issue at the github page. Then the creator will receive a notification. See https://github.com/tieniber/DataGridColumnSearch/releases/tag/1.5.2
Also see: https://github.com/tieniber/DataGridColumnSearch/issues/16
Maybe this can help you by using the widget in the correct way.