As described in the documentation (documentation) it is currently not supported to use lazy load in combination with default filters:
Due to current limitations, Saved attribute property will be ignored when a drop-down filter is used in conjunction with an Association Filter data grid configuration where Use lazy load is set to Yes. This limitation also applies when using page state, meaning that the filter value used in the drop-down filter will not persist when navigating between pages.
In order to have a work around for my client I used a 'focus' hack to load these default values as stated in my ticket I submitted: https://support.mendix.com/hc/requests/253081
I would like to see this fixed so that it isn't a limitation anymore.
Your support employee stated that it isn't on the roadmap anytime soon, but I still would like to submit this idea anyway so that the R&D team knows that this is a 'wanted' feature !