I find that it often doesn't. Or sometimes it does the first time, but if I accidentally click it again it resets. I can get a GIF if I need to.
Actually, here's what happens: if I have a particular filter selected, and I switch to another filter, both remember their positions. But if I switch to a whole different node, say Inbox or Audiobooks, and then click the filter again to return to Music, it resets to the top (which happens much more often than my switching one filter to another, and is a natural thing to do if filters are displayed). So maybe this is actually a bug?