Filtered downloads aren't working on our site--period; I found the issue on another site too. First, I filter w/ an attribute query. Next, the preview map displays a subset per the filter. Then, I download a shapefile; the shapefile has all features--not the filtered subset.
I have found this issue to be consistent, whether geometry is line or polygon and whether source service is ArcGIS Online feature layer or ArcGIS Server map-service layer.