I am using an SMS filter on my iPhone to block spam. I also allow Messages on my mac to use my phone for SMS. My filtered messages are passed through to my mac. That seems like a bug.

Yes, it is a third party SMS filter using the hooks built into iOS recently. The problem is not with the filter. The problem is that the SMS message is presented to the filter after it is forwarded to the mac, or these happen on different threads. The result is that the SMS filter puts the message in the junk folder on the phone but it still shows up in the Messages app on the mac. It seems that the SMS message should be presented to the filter first, and if it is filtered then don't forward it to the mac. To get around the problem for now I've had to turn off forwarding of SMS from phone to mac. The problem is gone, the junk SMS is filtered away, but I've lost the useful feature of being able to read my legitimate SMS messages on all my devices.