No there is not an issue with the Mac filtering.
I just finished trying to replicate this issue here in the office. I 'allowed' access only for my laptop, and it connected. I then attempted to connect with my phone (Note 4) and another tech's phone (S3). Both phones were not able to obtain an IP address.
Try resetting the router, run the setup (I would suggest giving the router a different SSID), and enable the MAC filtering. After it is enabled and you have put the proper MAC addresses in, power cycle the router. When the router comes back up, attempt to connect to it with one of the allowed devices, to make sure the unit is working. Then try and connect with the non-allowed device. It should not be able to obtain an IP address.
If it is still allowing 'non-allowed' devices to connect, I would suggest trying to exchange this with the store that you purchased from. If you are past the return date with the store, call us at (888) 573 - 8820 and we will help begin the RMA process.