This behavior can occur when the lookup field is polymorphic, meaning it can reference multiple Salesforce object types.
For example, the Parent Record lookup on the Gift Default Designation object can reference different objects. In a Multi-Step Report, the field may correctly resolve to the desired object (such as Gift Commitment) when used as a retrieved field, but the "Is Among" filter may resolve the lookup to a different object type (such as Campaign).
As a result:
Retrieved fields can correctly display data from the intended related record.
The "Is Among" filter may present records from an unexpected object due to how the polymorphic lookup is currently resolved.