This is definitely possible, but there's a trick to it:
- Firstly you need to ensure you have your Favourites Bar visible
- Secondly you need to have the folder added to the Favourites Bar
See the screenshot below for what I mean by the Favourites Bar:
You can make this bar appear/disappear with the optionshiftcommandH keyboard shortcut.
Now, to add a folder (or smart folder) to the bar, just drag it into the bar. In the screenshot above you'll see I've added the Last Month, This Year and other Smart Folders to my bar.
Now, after entering a search term in your Search field, just select one of the folders in your Favourites Bar and it'll filter the search to those items located within the folder.