This has been a problem for a LONG time (e.g. a year or more)…
Most of my game settings are saved across game restarts, but the LOOT FILTER selection is NEVER SAVED and always starts with no filter selected. There must be a way to correct this, and I may have caused it by trying to create new loot filters, but it is a PITA.
Also, it would probably be better if the loot filter was a CHARACTER LEVEL SETTING, though there don’t appear to be any of those at this time. After all, different character classes may want to filter for only their own items and a global setting could get annoying for folks who play several different classes. But I guess that is more properly a feature request, isn’t it?