No matter what the converted values are, the real filtering is always done on the underlying original data. The formatting is used for UI purposes only. This means that if you have "DateTime"-> converted to -> "Time" then the GridView will be filtered on "DateTime" as it is the "DateTime" that is the raw data.
In order to filter on the displayed values, you can create a property in your business object that holds the converted values ("Time"). Then you should set this property as a FilterMemberPath
for that specific column.
I would suggest you to also check our online documentation
to understand how the filtering is actually performed.
As another option you can try creating your own custom filtering control. You can check the article on applying your custom filtering logic