Yes, I know this. But this is not what I mean.
The functionality I was talking about is this: when your current input method is English, but you want to search for some directories or files named in Chinese. In Spotlight you just need to type the Pinyin in English, and the results will show up. The key here is that you don't need to switch to Chinese input method first, then type the Pinyin, then choose the right candidate characters. So the pinyin search reduce 3 steps to 1 step, and it's more productive.
As for the example I provided above, I type wode with English input method in Spotlight, the file "我的文档" didn't show up, I believe it's a bug in Spotlight's implementation. In other situations it's OK. So I choose another example: If I want to search for files named "集客", but I am currently in English input method(we are not always in Chinese input method, sometimes we need to input English, for example we need to type urls when we browse websites), I open Spotlight, and just type jike with English input method, and the results will show up. Look the screenshot below: