Please add the 'filterable' to the DataGrid component. Be sure to update to the newest version to get this feature.
<ComboGrid
valueField="itemid"
textField="name"
v-model="value"
:data="data"
:panelStyle="{width:'500px'}">
<DataGrid slot="grid" :border="false" :filterable="true">
<GridColumn field="itemid" title="Item ID"></GridColumn>
<GridColumn field="name" title="Name"></GridColumn>
<GridColumn field="listprice" title="List Price" align="right"></GridColumn>
<GridColumn field="unitcost" title="Unit Cost" align="right"></GridColumn>
<GridColumn field="attr" title="Attribute" width="30%"></GridColumn>
<GridColumn field="status" title="Status" align="center"></GridColumn>
</DataGrid>
</ComboGrid>