It sounds like you're trying to use the Symbols pane of the Media Browser. The 'click' method will not work to insert a symbol into the Sidebar Search Pane or Adv.
FWIW, I agree with Daniel - use the appropriate keystroke whenever possible in order to insert the character. However, if there is no keystroke you can drag the character from the Symbols pane to the Find or Replace field in the Sidebar. This will not work in the Adv.F&R.
The first and the quickest way to type degree symbol on Mac is using a Degree Symbol Keyboard Shortcut. It is the fastest way that helps to type a typical degree symbol. Put the cursor exactly after the numeral, that you will mark with a symbol that defines degree. What degree means. The degree symbol, is a typographical symbol that is used, among other things, to represent degrees of arc (e.g. In geographic coordinate systems) or degrees of temperature. The symbol consists of a small raised circle, historically a zero glyph.
![Mac Mac](http://cdn.osxdaily.com/wp-content/uploads/2011/04/mac-keyboard.jpg)
Another option: Right-click the symbol in the Symbols pane & select the Copy command. Then paste into the appropriate field of the Search Pane or Adv. F&R dialog (note that only the Command+V keyboard shortcut can be used for pasting into the Adv.F&R, though). Please mark HELPFUL or ANSWERED as appropriate to keep list as clean as possible ☺ Regards, Bob J.