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This will open up a panel with a list of all the data in the column, and a checkbox for each. (If a piece of data is present multiple times, it will only be listed once in the panel). If the column has a filter on it, data that meets those conditions will be pre-checked.
Note: If the grid does not load all the data up-front, it may take some time to retrieve all the data for that column.
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In the example above, "AZ", "CA", and "DC" have been selected. This changes the filter text to "Values AZ, CA, DC" and applies the filter to the grid.
If nothing is checked when the panel is submitted, it will be the same as filtering for "", so the filter will be removed from the column.