Noticed this sometimes before 12.6 update, but not since update (but only been one day). I thought it was related to using Mail on multiple platforms. For me, since most of my filters refile to another Mailbox, when selecting message in the iCloud inbox, entering "command-option-l" will usually move that message for me, or when I "right-mouse / move to" I see that the correct destination is already selected.
I'd make sure that your filters of interest still have the "Active" box selected, when perusing in "Mail/Preferences/Rules"