The problem is that the filter row is really a second header row. And this DragColumnHeader mouse controller handles all clicks into headers. This is why the dropdown is not happening.
Try this.
Subscribe to the QueryAllowDragColumnHeader event, and there have code like:
private void gridDataBoundGrid1_QueryAllowDragColumnHeader(object sender, GridQueryDragColumnHeaderEventArgs e)
{
int row, col;
Point pt = this.gridDataBoundGrid1.PointToClient(Control.MousePosition);
if(this.gridDataBoundGrid1.PointToRowCol(pt, out row, out col) && row == 1)
{
e.AllowDrag = false;
}
}