I know pinning is not available yet with the XamDataGrid.  I'm REALLY hoping it's available in the next release as well as a functional AutoFit.  In the meantime, we hacked a column pinning solution where we divided up the data into 2 XamDataGrids, and manipulated ScrollViewers, as well as selection click events to keep the rows in sync with each other. 

We'll need row pinning eventually too, so we figure we'll use the same logic of 2 XamDataGrids one for the pinned items and one grid directly below it for the free flowing items.

As for filtering, we accomplished that by redefining the data source, after programatically determining the filtered items.  Our filtering requirements were a little too specific for any grid filtering to be useful, so we went that route instead.