Is there any documentation that you are following?
I've been trying to get a taxonomy search with a drop down menu listing all taxonomies / categories for a custom post type. No matter what I do, I cannot save the search form due to an error. I followed Waqar's advice after he downloaded the site and said that the database needed to be optimized. I did that, but the problem lingers.
When you try to save the View after adding the filter to the Search and Pagination section it submits an ajax request with the data, and normally gets a JSON response.
But in your case (I checked on your site) the request is being blocked by the server, which returns a 406 HTTP status.
A quick Google shows that is usually caused by the Mod Security server settings, and that does appear to be the case on your site (see screenshot).
I would encourage you to contact your host who should be able to determine why such requests are being rejected from their logs. Were you to migrate your site to a different server I expect you would no longer see the issue, and it may require some tweaks to the Mod Security settings on the server that your host can help with.