Well, I tried fiddling with the properties and got the same results as you.
Went into the script and got it to work with this:
private void epiComboC1_BeforeDropDown(object sender, System.ComponentModel.CancelEventArgs args)
{
// ** Place Event Handling Code Here **
EpiDataView edv = oTrans.Factory("Memo");
string custNumStr = edv.dataView[edv.Row]["Key1"].ToString();
this.epiComboC1.Rows.ColumnFilters["Key1"].FilterConditions.Clear();
this.epiComboC1.Rows.ColumnFilters["Key1"].FilterConditions.Add(Infragistics.Win.UltraWinGrid.FilterComparisionOperator.Equals,custNumStr);
}