I apply a filter to 1 subfolder and 2 groups inside the subfolder, so all 3 have the initial filter, get new headers by right clicking on the subfolder.
Now proceed to open the 2 newsgroups one by one, you will notice that the filter works on the 2 newsgroups. Now open the subfolder to see the combined headers of both newsgroups, the filter doesnt actually filter any of the headers for the subfolder.