No, I just try to remember to explicitly load the config first before connecting. I've noticed the same problem with other devices as well, so it might be something common relating to how config is handled.
I was looking at it this morning and discovered that it didn't happen under a fresh build from source under OSX. It is happening on my stellarmate which will be a bit older code. I also noticed that the filters are correctly specified in the actual filter wheel configuration pages, and I verified in the code by adding some debug statements that the config file is actually loaded at startup. The problem it appears is that the CCD tool has an old definition of the filters. If I use the filter wheel selection pull down in the CCD tool and de--select my filter wheel and re-select it all is fine. I'm now wondering if its related to the order that our CCD and Filter Wheel are initialized in Indi which is somewhat random as they are detected on the USB bus. I'll keep you posted what I find.
If order is important that maybe I didn't see it on my Mac, but did on my StellarMate, just by chance.