There are several different issues here.
First, the Header Regex search term is matching properties of the internal message database, not headers in the original email. They are not necessarily the same. In this particular case, the internal field is called "sender", not "from". Its value is the best available value for the sender in the program. Although it prefers the "From" header, if that is missing it will use substitutes such as "Reply-to". So this is one of the more complex cases.
Second, in a regular expression the "." is a special character that matches any character, so your expression would match dellRcom as well as dell.com
I tested your desired term, and it worked for me when I used: sender:/.caspia.com/ For your case, I think what you really want though is sender:/\.dell\.com/ to only match the "." and not any character.