A common task for me is to select sets of Raw files from a shoot for conversion to PhotoMerge>HDR. So I have a filter set up in Lightroom to show me Raw files only.
I have applied the Lock when I have selected this filter (not sure if it makes any difference or not).
I then PhotoMerge 3 Raw files to HDR, go through the process. When it has finished my filter has unapplied and is now back to showing all files, JPG, Raw and DNG.
This seems like a bug to me. The only workaround seems to be to create a Collection or Quick Collection just for the ones I want to create, or have to keep reapplying the filter.
It's like that because the HDR file is a DNG, so as in your case there's the possibility that a filter would result in the newly-created HDR file not being displayed, which would be confusing.
I think that it does the same if I choose the filter Raw and DNG
It is a fair pain when processing more than a couple
Yes, how the filter is released is a bit lacking in subtlety.