It looks like the URL in your log does not match the search you’re showing in your screen capture. Are you sure you did the same search in both cases?
For your information, I tried to replicate your issue on my side, but for now I could not. I created a relationship just as you did, but the filter is working as expected.
You are right, the search feature does not search into related data. This is done because of performance reasons, in some cases, searching in all related collections can be very time consuming and we cannot implement this in all cases.
If it’s important for you, it might be possible to override the route that is used to search for values.
I’m adding this suggestion to our product board, that lists all improvement suggestions.