A mail filter is overridden by a rogue sender address

I created a filter that moves certain messages to a custom mailbox of destination according to the values I supplied to "From", "To", "Subject", "Copy", "Contents" with such containment operators as starts with, contains, ends with. All these messages share one domain, let's call it domain.org. All the messages are moved to the mailbox except - as I discovered doing some experimentation that included performing the search for that particular sender address inside the mailbox - those sent from addresses based on the scheme username-at-yahoo.[com|fr|etc]@domain.org that end residing not in that custom mailbox but in Inbox of one of my accounts (Gmail) as displayed in Mail.

All attempts to add more rules, combine them, modify operators had 0 effect. I also find out one more oddity. In a web version of Gmail I couldn't find these rogue messages at all - not in Spam, Junk, anywhere. That's extremely weird. Does anybody know what's it all about?