Not sure if this is a bug report or a feature request, but my preference is always to Filter on Favorited in the TV Shows screen. Ever since the new UI release, whenever I restart Channels and go to the TV Shows screen it defaults to no filter.
I forget exactly how this worked in the old UI, but I know it worked differently -- I set it to Favorites and never had to switch it again.
I use the Favorites to mark out shows that my wife likes to watch, so that all the stuff I record that she's not interested in doesn't clutter the screen. Having to reset the filter every time we restart Channels makes it a lot less useful for that.