Options are application specific
Just like in Windows, filtering options are application specific. Checking my Windows(7) VM, I actually could not find applications that supported filtering, using wildcards in their dialogue windows, apart from the one you mention.
Similar (wildcard-) functionality to what you describe is possible with e.g. Gedit
:
In the Open
dialogue window, click on the "pencil" button (upper left), the Location entry box will show. After you type an asterisk *, you can find a file by typing (any) part of its name:

Unfortunately,Geany
does not support wild-card filtering in the Open
dialogue.
General filtering options
Most other applications, filtering on first character(s) is standard:
- Open the "Open" dialogue
- Sort by name by clicking the "Name" column header, click on an item in the list (any) then type the first character(s) of what you are looking for
The dialogue box will take you to the first item.
While the other items are visible, scrolling up and down with the mouse or the arrow keys will only scroll in this subsection:

Example from the Geany
dialogue box. all files are visible, but scrolling will only include files, starting with an "r"
In Nautilus windows it works exactly the same when you use list view.