The need of filter possibility might not be very high.
BUT let's say I want to filter on the value I have in my specific field I'm standing in.
If I could "right click" and "filter this value" I then have my filtered list very easy.
there are already many features regarding filtering out of the box. Your particular feature request is not but maybe the other features help you:
when you hover over the column header, you have an "Excel" style quick filter:
Using CTRL + F you can quickly focus the search box and filter as you type.
You may also click on the options icon in the dashboard to get some more control:
The Auto Filter row is also something inspired by Excel.
I hope this makes it easier for you to filter the dashboard grid.
Yes this works.
Glad to hear that, Reine!