You're right : if you want to use your form fields for searching, filtering, custom views,..in sharepoint, they have to be connected to SharePoint columns.

For information, all the form fields not connected to columns are stored in a field called "Form Data" in XML format.

You can connect this value to a SharePoint column.....but this column will then receive a big XML content. For test purpose only i think...

The form data can't search with sharePoint search can't any solution for it? SharePoint can search infopath form library and xml file but it can't search nintex form data.