The mentioned functionality already exist,  if you are using  UltraComboEditor,  like a EditorComponent  in the grid`s column, but using UltraComboEditor,  you could have only one column into your  dropdown list. So if you need to have more columns,  we could use UltraCombo, but there doesn`t exist highlight functionality.

One possible way to solve this task, could be if you are using CreationFilter and override of our UltraCombo control.

Please take a look at the attached sample and video file for more details and let me know if you have any questions.

Regards