I'm wondering how is it possible to clear a Filter using a Selector as used on the Interactive Demo for the Gender header.
If you are asking how to add an empty option to a select header filter, then you just need to include a property in the headerFilterParams property with the value of an empty string:
{title:"Favourite Color", field:"color", headerFilter:"select", headerFilterParams:{"":"", "red":"red", "green":"green"}}
If you want to trigger it programatically from outside the table then you can call setHeaderFilterValue on the column component
table.getColumn("color").setHeaderFilterValue("");