Hi grayt7, I use multiple filters with SH404SEF. This is my suggestion:
On first application of the filters they collapse and disappear except perhaps the search filter.
Locate the page in the SH404SEF 404 log and it will have an index.php suffix. (Just search for index.php in the 404 log and you will find affected pages)
Click 'Redirect to a SEF URL'. Then in the pop up, select the lower left hand drop down 'Show only similar URLS' and change that to 'Show All SEF URLS' Then copy and paste or enter the page URL without the index.php to find the correct page, select it with the checkbox and click Select Redirect Target.
On redirecting that page to the 'correct' sef url the filters should then work.
Do this for every page that requires the filter module (apply the filters to generate the error, then redirect it.)
You will notice that 404 records will appear in the 404 log but the action of the filters and the loading of the page will not be affected. This is because the SEF component cannot be made aware of the AJAXian filters.