[itsme]

Set the filter as you like > long press to select one of the songs > select all (using the checkbox in the little toolbar bottom right) > Create Setlist from Songs (or "Create Collection from Songs") from the dropdown menu
seems to do what you want. Just the "select all" is a bit tedious and it creates a snapshot of the current filtered result, not a dynamically filtered setlist or collection.
Stored filter settings might also help.