Its about time to make the connected fields and objects elements searchable using keyword search boxes. Also to make it work with display rules. Without these, we have to handle with this frustrating limitation on yours app and this is something so basic that is taking too much time to happen. Also, I would like to see a faster development process on fix and new features. would be nice that the knack team create polls for users to vote on priorities.
Yes, I am having this problem at this time too. It is a very weird anomaly.
Somebody found a solution to work around this bug?
Was just coming across this problem myself. Have a table with multiple columns which are connected fields and the keyword search does not look at them.
I thought about it days ago, but just tried it today, and it does work!!
A dirty trick way around this Knack anomaly of Search unfiltering in connected fields. Here it goes:
Add as column to your table the connected fields you want the Search to filter.
Then edit the column and make its value always invisible:
Then check Hide empty columns:
et voilà! 
The search filters invisible connected column fields. 
ps: just tried it and it works, but did not super proof it so no idea if there are consequences.