One of the missing features with Data Modules is the ability to use a Select & Search (search and select?) prompt in Cognos reports.
Not sure why that is not supported yet but it is on the list of "maybe someday".
Reporting limitations when using data modulesThe following limitations apply when data modules are used as sources in Cognos Analytics Reporting: Data modules and Framework Manager packages cannot be combined in the same report. In IBM Cognos Analytics 11.1.7 and earlier versions, only one data module can be used as a source for a report. Starting with Cognos Analytics 11.1.7 FP1, multiple data modules can be used as sources for one report. Data modules that are based on dimensional data sources, such as PowerCubes, dynamic cubes, TM1 data sources, and dimensionally-modeled relational (DMR) data sources, are not supported. The Build prompt page tool, and the Select & search prompt and Tree prompt prompt types are not available in reports.
(See the whole list here).
So, I found a work-around for this. It's not pretty but it works.
If you want to add a Select and Search prompt to your report, create a new Cognos report. Do not add a package. Add a prompt page and add a Select and Search prompt to the display. Hit Finish to continue - you don't have to do any of the settings.
Copy the prompt object to your real report. You can now set it up using the property sheet.