Right, which is why Lemmy should optimally implement some firewall-esque whitelist/blacklist system instead of the blunt tool that is in place now. Users would get the full/fine control over their feed that you want, but implemented in a way that should confuse no one.
With that said, the fact that you currently still see comments from users on blocked instances is definitely a bug. Regardless of the outcome of this (whether a blacklist/whitelist system is added, your suggestion is implemented, or Lemmy filters just continue working like this forever), that needs to be solved.