Hi,
Well, that's normal that it works like that.
The current menu item is actually a menu item displaying all the products. So the current category is the main category of the shop.
Even if you display the current category in the title with the option of the menu item, it will only display the main category of the shop.
The filter module just add a condition to the query loading the products in the main area, but it doesn't change the "current category".
So it's not impossible to do what you want, but the only option will be to modify the code in the file "listing" of the view "product" to add the name of the category selected in the filter when there is one. You can do that via the menu Display>views if you're a developer.