This is by design. The filter box dialog is closed automatically like any other drop-down control displayed from iGrid when you change the row or column set. Moreover, the list of available items to filter is updated only when you open the filter box, so this is one more reason why the filter box should be closed in this case.
We do not have a special event to indicate the filter box opening, but you can use the grid's ColHdrMouseDown event for that. Analyze its ElemControl argument, and if it equals 'ComboButton' - then it is what you need:
private void iGrid1_ColHdrMouseDown(object sender, iGColHdrMouseDownEventArgs e)
{
if (e.ElemControl == iGElemControl.ComboButton)
{
// Opening a filter box
}
}