>I don't know what is the reason, but you coud try it from command window using your own field/table names:
>USE H:\vfp_cue\cue\dbf\TITLE.DBF && this is 950K rec table
>_screen.addobject("grid1","grid")
>_screen.grid1.visible=.t.
>_screen.grid1.columncount=3
>_screen.grid1.recordsourcetype=1
>_screen.grid1.recordsource="TITLE"
>select title
>set filter to ttl_name="A"
>_screen.grid1.refresh
>set filter to ttl_name="B"
>_screen.grid1.refresh
>It works without any delays on my machine.

I tested this code and it is as slow.

What I tested is this:

USE N:\INFOPLUS\DATA\INFOLIST\ACRONYM
_screen.addobject("grid1","grid")
_screen.grid1.visible=.t.
_screen.grid1.columncount=3
_screen.grid1.recordsourcetype=1
_screen.grid1.recordsource="acronym"
select acronym
set filter to upper(acronym)="ABEND"
_screen.grid1.refresh

I have 350,000 records. SET OPTIMIZE is on as well as SET DELETE. The result gives 80 records.