This is the behavior on my Mac too. I believe you need to add China to you language(doesn't have to be the first or display language) and maybe set your region to China, so that the system would index filename's pinyin too.
I know for sure that if your language setting is English, Contacts and iTunes won't index pinyin of anything, and from the screenshot above spotlight seems to work the same way.
This feature is crucial for Chinese user, typing Chinese instead of just pinyin is woefully slow for quick search. For now I don't use Alfred for searching because of this, and make my own