I don't see that behavior at all. If I have Favorites selected in the Transition Room, changing to the Media Room (or any of the other rooms) doesn't change the Transition Room filter when I return. I even tried setting different filters while browsing the other rooms, but each selection seems to be maintained when I return to each room.
I'm running the Aug release of PD365 (20.8.3211), and you didn't mention whether you have PD20 or PD365. If you have an earlier release of PD365, try updating via the CL App Manager. If you have PD20, maybe contact CL tech support
here to open a ticket.