When you select after filtering, are you doing a select all (ctrl+a or cmd+a in Mac)? Or selecting the top row and hitting shift+down to get to the bottom? Ideally, it shouldn't make a difference, but with the way it works now, it does. That's something I need to fix. If you do a select all, you can use the down arrow key to push the selection below the header.

I'll set up a similar file and see what I can do to improve this.

For now, one alternative is to filter OUT the data you want removed, then use the Remove All Filtered Out and Hidden Data command.