If a default filter has been set on a related list on a record, e.g. incident, it should load on any other records opened from the same table. However you may see this is not all the case.
For example, if you have set a default filter on a related list in one incident record but if you open another incident record, the default filter does not load for the same related list.
Release or Environment
This is due to no records for the related list in the sys_ui_related_list_entry table.
To resolve the issue, removed and re-added the any of the related list on the table/form where the issue is occurring via Configure > Related Lists.
Once done, go to the desired related list and configure the filter then click on "Set as Default Filter".
For example, on an incident form, right-click and choose Configure > Related Lists then remove any related list then save. Re-add the same related list you removed previously and save the changes.