Coming from Qt, it seems to me that the BindingSource class provides the same functionality, and is intended to be used in the same way as the QSortFilterProxyModel in Qt.
After reading When is it worth using a BindingSource? and its answers:
Filtering,Sorting while not changing the sort order of the records themselves (Filter/Sort)
And also:
A BindingSource can act as a data source of another BindingSource
Those are the same features that a QSortFilterProxyModel provides in Qt.
Can someone who has experience in both Qt and Winforms tell me if my understanding is correct, and if not, what are the biggest differences between using a BindingSource and a QSortFilterProxyModel?
I am no winforms expert but just by reading about it they are similar but different.
So here my key concepts of the QSortFilterProxyModel. How much of this applies to the BindingSource or differs I cannot tell you much.
The ProxyModels in Qt are an abstract model layered on top of your basic model (seems like with a BindingSource in common here). Though you cannot add controls etc. to this, because that is all they are: Data Models. You can attach this ProxyModel or also just a normal Model to the a View and this view takes care about what controls to display (the model can give "hints" though).
The SortFilterProxyModel also can just Sort and Filter data based on Strings. You can derive from it for custom sorting/filter. No currency management etc.
Qt also encourages this approach to write your own ProxyModels if you need them (you can also layer multiple ProxyModels on top of each other). How much this differs from BindingSources and how much you can customize them I don't know
change notifications can be managed via the usual signals and slots concept in Qt, though the responsibility here lies in the Model beneath the ProxyModel and not in the ProxyModel.
Conclusion: It seems they have a similar concept and both (accidently) support sorting and filtering (maybe because it's just such a common use-case) but the basic concepts of the Model-View system they are put into seem just different.
Again this is without any or very rough winforms knowledge, maybe someone else can answer that part and you have a good comparison then.