Error: Specified method is not supported?

It is up to the underlying data-source what operations it supports. I believe that DataTable is the only one that out of the box supports this. You could check (in this case) via:

IBindingListView blv = yourDataSource as IBindingListView;
bool canSearch = blv != null && blv.SupportsSearching;

So; what is the underlying data source? A List<T> (or even BindingList<T>) won't provide this.