As far as I know, there is not a direct solution using only datagrid 2.
But a workaround is to wrap the datagrid2 in a dataview with a “HelperEntity” and a reference selector to the associated object.
In the XPath datasource of datagrid2, you can create an XPath filter using $currentObject refering to the helperentity.
In the version I use (10.16) it is now possible to use a dropdown based on an association.