I am using Mendix 9.24.2 and I you can do it by typing the caption in a string, splitted by comma
You can also try this and see if it works for you
The answer is no
I noticed it as well that this no longer seems to work. The funny thing is that when inspecting the code in github it seems there is some logic to render multiple default options. See https://github.com/mendix/widgets-resources/blob/49a19f7cd27056d727cbb5b960bb0822e3841f32/packages/pluggableWidgets/datagrid-dropdown-filter-web/src/components/FilterComponent.tsx#L71
So after testing it another time, i get it to work, but then i broke it. So it seems that the behaviour is unclear to say the least.
Edit: I also tried setting the configuration of the drop-down filter and this also works very inconsistently. I think this might be related, is there someone who is able to use the stored attribute of a drop-down filter succesfully?
Edit2: I was able to bypass this by setting the configuration attribute of the whole datagrid on load of the page. This does make it a bit tricky as any changes to the datagrid also need to be made do the configuration attribute value as well, but for now this solves my problem.