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My guess is things *should* be working as intended. The user-specific RSS feed is coming directly from the site (unlike the feedpress.me in-between which is what the main RSS feed uses currently). Accessing the direct user feed pulls stories in real time so it would be the most up-to-date feed.
Also note that the filters you set are only for the main page of the site and the RSS feed. You can still go to the individual category links at the top of the main page of the site or do a search on the right side of the page and view stuff unfiltered.