Hi Ketaki, unfortunately as the error says – mixed source retrieval is currently not supported – this is because when searching using a datagrid, the runtime constructs it's own xpath queries to the database. However- since this is OData/external data, it doesn't live in the database but rather at the external source.
To be able to search on external data, try exposing search endpoints on the published OData source, so you can consume them using queries in a microflow-implemented search instead:
https://docs.mendix.com/refguide/odata-query-options/