On the projection nodes this was never the problem. My question was about if the filtering is possible on the aggregation level? On the Union level not. And on the Aggregation level it seems that this could be done only, if the Aggregation Node is not the last before the Semantics. (That's what I figured out up till now, although I have no clue, why on the last this isn't possible.)
Noteworthy is additional that on the Aggregation Node I cannot access to the same Filter Dialog as you have shown. If I double click on the Aggregation Node on the Filters everything therein is read-only cannot be changed. Only in the Apply Filter-Dialog.
Any ideas, why there are these two limitations? (Tested with SP08.)