There is a bug in query_store.php where you cannot save a private filter if you do not have the privileges to save a shared filter (i.e. in my setup minimum access level to saving filters is 'Developer' and minimum access level to save shared filters is 'Manager'). The bug is on line 106 of query_store.php:

Original:

...
# ensure that we're not making this filter public if we're not allowed
if( !access_has_project_level( config_get( 'stored_query_create_shared_threshold' ) ) ) {
        access_denied();
}
..

I suggest that it should be corrected to:

...
# ensure that we're not making this filter public if we're not allowed
if( $f_is_public && !access_has_project_level( config_get( 'stored_query_create_shared_threshold' ) ) ) {
        access_denied();
}
...