So, just to be sure, you are creating and then saving a custom filter, correct?
In that case, I will have to agree with you. If you save a custom filter, it can't really be modified, at least from what I've seen. You have to save the new filter under another name.
Ironically, if you have the filter applied to a series of tasks, and modify it there, you get a warning about how changing the filter will change it everywhere it is used. So, in that case, it appears to work.
(if that isn't an actual case of irony, please don't mark me thumbs down.
)