Hey Jamie
It certainly does sound like a bug.. it may be that another plugin or custom code is interfering with the save mechanism of the plugin, some plugins which make modifications to custom post types have been known to affect Search & Filter and the normal solution is to exclude the custom post type “search-filter-widget” from them, for example the plugin “custom post type switcher” does this.
Does this sound like this may be your problem?
If not, try to take a look at your JS console for any errors, and also make sure WP debug is enabled (http://codex.wordpress.org/Debugging_in_WordPress)), if there are errors being generated in WP then this can sometimes cause issues.
One last thing to try once WP debug is enabled is to install a plugin like debug bar (https://wordpress.org/plugins/debug-bar/) which can also help highlight any errors being generated in WP.
If none of the above works, I would try disabling your other plugins, or testing out Search & Filter on a clean install to see if we can isolate the problem.
Let me know how you get on with the above and we can take it from there.
Thanks
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