To add information here, the saved filter does apply in one specific set of circumstances: When accessing the troops menu via “Edit Teams” in any mode where you have access to your normal teams. So basically, clicking Edit Teams before an Explore or PvP battle will used your saved filter still, but from the map.
This bug seems to have been introduced at the same time the “locked weapons from a world event carried over into locking weapons for the main troops screen” was reported: [Reported] Weapons remain locked on event colors even outside the World Event! - #21 by Kafka
It is likely that the workaround fix for that issue caused this one.