Once you use the field in the secondary data source you can rt-click that pill and have a quick filter option. I guess for secondary data sources T need to know how you're using it before it can give you a filter option.
Thanks Shawn for the answer.
Let me confirm my understanding - For quick filter to be enabled (whether it is secondary or primary data source), I need to use a field from that source in a visualization - is that correct? I did a little bit of experimentation and this is what I guessed is the behaviour.
So to be clear. Primary data sources (blue icon) have rt-click show quick filter available for all dimensions in the data window:
Secondary data sources (orange stripe on side) do NOT have this option available in the data window:
However once you place the field into the view (orange icon), the option becomes available for the pill: