The auto-filter drop down will appear when distinct values are calculated for a data-grid item property. That said, you can set the DefaultCalculateDistinctValues property of the DataGridCollectionViewSource to false (by defaul true)  and explicitly set the CalculateDistinctValues property of each data-grid item property for which you want the auto-filtering to true.

If you are using the DataGridCollectionView in code,  you will need to explicitly set the CalculateDistinctValues of the data-grid item properties for which you don't want auto-filtering to false.

As for providing an inital filter:

DataGridCollectionView view = new DataGridCollectionView( App.Orders.DefaultView );
view.AutoFilterMode = AutoFilterMode.And;
view.AutoFilterValues[ "ShipCountry" ].Add( "Canada" );
this.OrdersGrid.ItemsSource = view;