If I click one of the column headings and select 'Filter by this field', then start typing in the name of a customer, after a slight pause in typing.
For example I wish to find all customers who has the text 'kitchen' in their name, I type 'kit' and leave a second pause before continuing to type, the filter is applied based on 'kit' and focus has been lost from the text field.
For a user not fast at typing, the risk is the filter will be applied before they've typed in the text they wish to filter on.