I just tried it. I see the same thing.
I suppose I can understand the reason for this. An action filter is passing specific values to the target sheet, so the underlying engineering of that filter will behave with the expectation that specific values are how that filter should operate. (We don't pass wildcard values in a filter action.)
If you have a strong business need for wildcard behavior in this filter, you can post an IDEA on the IDEAS forum here:
Be sure to include your business need if you post a request for this. If you leave out the business need, you can expect someone is going to ask you for one, so you may as well have it right up front. (I'm curious about what wildcards can do for you with respect to clearing the filter.)