Custom SQL Lookups allow you to search by the name field in the Classic UI. This functionality does not work in MUX. You also noticed that some drop downs do not show the full list of items in the new UI but works fine in the old UI.
Some lookups for which the user could not search for in the Modern UX is due to that for those lookups they had value (which is essentially the id) as hidden key as as well display
Update the display value to the description which is project name and that will allow to do search as desired in Modern UX.
Where lookup values are not showing in the Modern UX, make sure ORDER BY clause by XOG and cleared clarity cache and after that you will start seeing expected values in the Modern UX