The DataFormatString is only used for presentation purposes. It plays absolutely no part in the data engine and all filtering, sorting and grouping operations are always performed on raw data values in the data engine.
Each GridViewColumn has a property called FilterMemberPath. You can use this property to tell the column to filter on a property different from the one it displays in its cells.
For example: FilterMemberPath="PropertyToFilterOn". You can also check the FilterMemberPath documentation.