Since a picture is worth a thousand words, and partially to prove that I'm not imagining this, here are some screenshots. You can see that the number of files does not change on the FiiO card whether or not a filter is set. While on the iPod the number of files changes correctly.
The FiiO SDcard with no filter set:
The FiiO SDcard with the no Classical or Christmas filter set:
The iPod Classic with no filter set:
The iPod Classic with the no Classical or Christmas filter set: