I have the list showing fine but I can't seem to be able to find anywhere that the search box will show. This text implies that the field names will become searchable but I don't see how.
You can activate list searching and/or sorting for your users to control how the list is displayed. Like this [pdb_list search="true"] or [pdb_list sort="true"] The use can select which field they want to search through a dropdown. Only fields that are displayed can be searched. For sorting, the fields offered for sorting must be checked as "sortable" and also be present in the list display.