It doesn't work for me either, but you can search by CVE number. I believe that only the values that have a column present are searchable from the IPS Protection screen, and the Check Point Reference is not one of them. This would probably need to be a RFE.
Unfortunately doing an Actions...Export of the IPS protections does not include the Check Point reference number in the generated csv file either. 😪
Attend my online "Be your Own TAC: Part Deux" CheckMates event
March 27th with sessions for both the EMEA and Americas time zones