Hello there, @ERINDOOLEY ...
I am not sure if you are familiar with the monthly Canvas Release Notes, but I wonder if what you are experiencing is related to the updates that were pushed out over the weekend? In particular, the Gradebook had an update to Multi-Select Gradebook Filters. You can read more about this at:
Canvas Release Notes (2024-03-16) - Instructure Community - 595880 (canvaslms.com)
While it's not going to address a direct question as to why your filters aren't saved, I wonder if these updates kind of "undid" what you had previously done for your filters since you can now multi-select.
Just a thought...for what it's worth.