It seems a change in this menu occurred over the summer. Now, when you select a section, it treats it as turning a section on or turning a section off. You might even notice a slight bolding of the section name. When you try to change from one section to another, you may notice both are now bold.
When switching to another section, you have to click on the section you want, then click on the section you no longer want. The reason your method works is because selecting "Show All" basically unchecks all of the sections. With nothing selected, all sections become visible. When you then select a section, it turns the filter on to only show you that section.
This is similar to how section filters work in the gradebook.