Have you trashed the preferences? Sounds like FCP is just being dumb. If you put the filter on and exported, there's no reason for it not to be there.
This is a nice little app that tosses the preferences for you-
http://www.digitalrebellion.com/pref_man.htm
Just to idiot check... if you change the timecode start in FCP, did you hit the Tab key to advance to the next changable box? The tab key will often put the changes into the browser window. If you can't see the changes there, then something fubar'ed. Worked fine on my system last night (PBG4, OS 10.5.6, FCP 6.0.5).
Also, after you paste the timecode filter on your nested sequence, you're exporting a self-contained file of that sequence, yeah?
