TLDR: If the system is fast, apply directly. (But also consider other types of filters)
Beware that if the user uses keyboard navigation in the dropdown the filter might be applied automatically every time the user presses key down/up which might flood the system with requests (if that is an issue, depending on the architecture of the system).
Consider using other types of controllers for filters, radio-buttons, text etc.
TIBCO Spotfire is a heavy user of filters, might generate some ideas perhaps: https://www.youtube.com/watch?v=WVROLbcXyic
Disclaimer: I'm affiliated with the linked product. I'm sure that there are other software doing similar things.