A dropdown doesn't work well if you want them to be able to choose nothing. It won't really stay with a blank value and if they click on something it will never let them put it back to nothing again. Combo boxes work better for this.
That being said I think your issue might be more on what you have for the items of you gallery, you need to put an if statement in there or something that says to show everything if they haven't selected anything yet...change that to:
If(dd_CurrentStatus_1.Selected.Value="",
Sort(DataSource, Organization, Ascending),
Sort(Filter(DataSource, CurrentStatus.Value=dd_CurrentStatus_1.Selected.Value),Organization, Ascending)
)
This will tell it that if the drop down doesn't have anything selected yet show everything...otherwise do the filtering of it.