I have the same issue.

My setup is ZWO ASI1600MM with a ZWO EFW. I find that this happens when I've used a manual capture on my Luminance filter (in the first slot). Then when I create a sequence and start capturing data I found my images with Luminance filter has the missing FILTER fits header. I feel it has something to do with when a sequence starts but the filter wheel doesn't move the state of the current filter isn't set so it's not added to the FITS image. Also, given that the original poster is using ZWO EFW it might be something to do with that (as I have the same filter wheel and it is happening to me). I might have a look at the code over the weekend and see if I can find the issue and get a bug fix for it.

As I have created my own Python script using astropy to get around it I don't find this a major issue but I can report that it does happen.

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