It appears to be different now in trunk w/ the cairo renderer... I did your steps to reproduce and the filter did not disappear on step 5., instead the object did. I entered the group, selected the visible original object, hit tab and it selected the filtered clone object and I noticed that both fill and stroke were "unset", I added a fill color and it turned that color and was still filtered. Bizarre behavior indeed.
It appears to be different now in trunk w/ the cairo renderer... I did your steps to reproduce and the filter did not disappear on step 5., instead the object did. I entered the group, selected the visible original object, hit tab and it selected the filtered clone object and I noticed that both fill and stroke were "unset", I added a fill color and it turned that color and was still filtered. Bizarre behavior indeed.