What selection filter window? If it's locked and deselected you can't right click and filter.
The only ways I've found to select a locked part is with the Find (ctrl-f or cmd-f), but it behaves a little erratically. Sometimes you can't use it to select the part if you have recently and need to click "Restart Search" to find it. Or, select it in the schematic. This is just silly, why can't it be directly selected? It can still be locked; making it non-selectable doesn't add anything at all. If making things non-selectable is a desirable feature, then it should really be set separately.