When using a filter, a double click inverts the selection (deselects all except the one clicked on)
When using a filer and wanting to select a single value you need to first in-tick "(Select All)", then you select the item you want.
An improvement would be that with all values still ticked that a double click on the item you want de-selects all the other entries apart from that one.
Really simply, but how many times have you scrolled down the list looking for the item you want, then realized you need to scroll back up to untick "Select All" first and then scroll back down again.
Come on Microsoft, this sort of stuff is basics! :)