There is some new information on this topic. It appears that this issue is affecting users that have installed the Windows 10 1903 update released back in May. There is something different about how this is update is handling this particular key command combination. It also appears that this is not just happening with Finale too, but we will look into what can be done about the issue from our end.
Currently the best work around is to use the TGTools Modify Shortcuts Plug-In to invoke the Edit Filter menu. Although the command is not working directly through Finale's commands, it is working with the plug-in.