var estado = [
 "Situação 1",
 "Situação 2"
];

$(document).ready(function () {
 var table = $('#example').DataTable({
  "columns": [

  { "data": [0], "orderable":false},
  { "data": [1], "orderable":false},
  { "data": [2], "orderable":false},
  { "data": [3]},
  { "data": [4], "type":'date-br'},
  { "data": [5], "orderable":false},
  {
     // criação do campo select no datatables
    "render": function(d,t,r){

      var $select = $('<select id="MySelect"></select>', {
        "id": r[0]+"start",
        "value": d
      });

      $.each(estado, function(k,v){
        var $option = $("<option></option>", {
          "text": v,
          "value": v
        });

        if(d === v){
          $option.attr("selected", "selected")
        }
        $select.append($option);
      });

      return $select.prop("outerHTML");

    }
  }
]
});

//pega os valores de cada option

$('#example').change( function() {
var vals = []
var sel = document.getElementById('MySelect');
for (var i=0, n=sel.options.length;i<n;i++) {
  if (sel.options[i].text) vals.push(sel.options[i].text);
}
   console.log(vals);
});

[…]
 0: "Situação 1"
 1: "Situação 2"
 length: 2
 proto: Array []