I just ran across this today for the first time and was honestly a little surprised by it. I wanted to add a Choice Filter to my team site and couldn’t. In SharePoint 2010, when creating a Team Site, wiki pages are used for the home page as well as any other pages you create. If you edit the page and try to add a Choice Filter (as well as some of the other filters), nothing appears to be added to the page. However, if you were to open the page in SharePoint Designer, you will see that the web part has in face been added to the page and is actually throwing and error.
So what is the solution? There are actually two of them.
1. Active the Publishing Feature for you site, create a Web Part Page, and use this page to add web parts to and utilize filters.
But..what if I don’t want to turn on publishing or I want to be able to use a wiki page?
2. Use SharePoint Designer to insert the filter web part. That’s right, you can actually open a wiki page in SharePoint designer, insert your desired filter web part there and configure the connection and everything works fine. Once the web part has been added, you can actually reconfigure it via the browser. However, I would recommend against this as there is apparently some problem with filters, wiki pages and the browser. The downside to this approach is you have to use SharePoint Designer which means if you want end users to be able to customize their own pages they either need to be allowed to use SharePoint Designer, or not able to use certain Filter Web Parts.
Hopefully this will be something that is added (or fixed as I’m not if this was intentional or not) in a later patch or update to SharePoint 2010. If anyone else has additional information or a work around to adding these filter web parts to a wiki page, leave a comment and educate the rest of us.