How do I create a Smart Group of Participants using a Custom Data Field in Events?
I checked in 4.4 and 4.6.

It does not work in 4.4, but it does in 4.6.

So, not sure about 4.5, but if you upgrade that far I advise to upgrade to 4.6 anyway, because then you are on the current LTS (Long Term Support) version.