Chris,
That is a bug. Workaround exists however (but a weird one). I wouldn't use a set filter but recordsourcetype of 4 and a recordsource as SQL. ie:

*grid2.init
this.RecordSourceType = 4
text to this.RecordSource noshow pretext 15
select * from counties
 where stateID in
 (select stateID from myStates where lChecked)
 into cursor crsCounties
endtext

And workaround:

WITH thisform.grid2
 .RecordSource = .Recordsource
 .SetFocus()
ENDWITH
this.SetFocus()

According to documentation you shouldn't be able to call SetFocus from within valid, looks like a new bug is introduced. I'd move the code to interactivechange and add a line:

this.Value = this.Value
WITH thisform.grid2
 .RecordSource = .Recordsource
 .SetFocus()
ENDWITH
this.SetFocus()

Cetin