I believe this works as designed. The filter doesn't filter on whether you own a copy in that set, it filters on whether you own a copy of the card, and whether that card was printed in that set.
You can see this also if you filter on, say, rare cards with subtype "Angel." Serra Angel appears, even though I don't own any rare Serra Angels. It's because Serra Angel was rare in certain sets, so the card has the "rare" tag in the db.
I can see how you would want the filter to sort through ownership traits instead of what sets the card was printed in. On the other hand, that would make it inconsistent with how the exact same filter works when you're searching the card database. What's more, how would it work if you didn't enter any card details when you added the card to your inventory?
I think the current function is probably the best compromise barring a major interface change.