Thanks for this :-) As some background, the reason it's not a bog standard drop down is because we can literally have hundreds of thousands of values at times, so we wanted to filter it back a bit (incidentally, we still fetch the values, but don't mind them, it's more an auto-complete box, so we still are doing all the work, but a normal drop down isn't very easily filtered).
Having said that, in general I'm not overly fond of how the interaction model works with that drop down either so it is something we'll look at making more user friendly. I can't promise when, but we are scheduled to look at filters in more detail soon. This could be part of that work.
I hope that helps,