Thanks Louis, we had identified this issue a few months ago. Its on our list of items to fix.
In the short term you can rework your filter as a "select option" filter with two manual sources. The first source would have name "Only my Leads" and would activate the condition. The second source would have name "All leads" and would disactivate the condition. This makes all the filters work the same.
It might be a silly workaround, but it may help the user experience.