You could try to change the z-index of your filter to something higher, it might also have to do with the positioning. Z-index only works on positioned elements, so one of those elements might not have an explicit positioning at all
Looks like it's the entire column header since it uses sticky positioning, the styling comes from themesource/datawidgets/web/_datagrid-scroll.scss line 5
It doesn't look like it's configurable from a glance