Filters and agile boards don’t have a direct reference to projects. The reference is implied by Jira based on the context of the JQL in the filter.
CMJ will export automatically filters only for project snapshot with issues when the selected project has issues that have assigned sprints in their Sprint custom field, and those sprints are part of an Agile board - then in order for data to be consistent the found board and its saved filter will be included in the snapshot.
Other than that boards and filters are not exported automatically. You need to explicitly select all the boards you want to be included in the snapshot.
You can find more information for about how this is done in these documentation articles - https://botronsoft.atlassian.net/wiki/spaces/CMJ/pages/31195157/Filters and https://botronsoft.atlassian.net/wiki/spaces/CMJ/pages/56557572/Agile+Boards
Also, for more information about the specifics of including filters and boards in the snapshot, review this article - https://botronsoft.atlassian.net/wiki/spaces/CMJ/pages/4784156/Special+Cases#SpecialCases-Filters
At the first page of the snapshot wizard the options "Include Project Filters" and "Include Project Boards" are another way to automated the addition of boards and filters which has direct dependency to any of the selected projects.