If you have more than 100 students in the class (the current default) and there is a student that isn't on the page you're on, putting them in the filter won't show them on that page unless you actually switch the page to get to them.
For example in the demo roster on nightly with 180 stduents. If you filter the student "Peter" nothing comes up even though the student "Peter van Keken student0002) is in the class. Moving to the second page also clears off the filter.
Ideally it would filter the results across all pages, but since this might be difficult perhaps it could be possible to either allow changing of the page limit (so more results can be shown per page) either on a System wide or UI level, similar to how other tools like Site Manage do it.