This is currently an expected grid behavior, although there are some enhancements logged to request this feature in a future version. Check out the Related Posts below and you will see some previous discussions about this.
One possible solution is if you can use the Refresh List option rather than Refresh Section, as discussed here
Unfortunately I don't think that you are going to be be able to easily retain the filter with a section refresh. I would advise reviewing the related posts below and see if any of the solutions discussed could be applied to your design.
I have added details of this (and the other) PSC discussions to the logged enhancement request to support introduction of this feature in some way.