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.
Les langues: Anglais (English )Espagnol (Español )
Fuseau horaire: Europe/London (GMT+01:00)
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.