The filter code uses two separate forms for the filter panel open and closed. They either need to be combined, or the closed one needs to populate the current filter using hidden values.

This only happens the first time after logging in for me.

Happens every time for me.
(Tested here, on this site)

Btw: Combining the values on the 2 pages would possible fix this:
Expand panel, enter "123" into search field.
Collapse panel. Field is cleared. Enter "abc".
If you now expand again, you will get "123" in the field.

This is no longer an issue in current version