UPDATE:
On further testing, it's NOT about whether it's filtered or not. Rather, it's about the list changing without closing and opening again.
For example, if I type "aust", I lose the styling. But if I close and reopen the list but KEEP "aust", the styling is back.
If I then erase "aust", the styling goes away again.
So, it appears the list needs to close and reopen to keep the styling. That SEEMS like a bug, no?
Regardless, have you got a way to keep the styling under all circumstances?