When clicking the filter icon in the header first time, I get a flash of a window who disappears. Clicking a second time on the same column filter icon, the filter window is displayed and filtering works as expected. The same behaviour for each column you did not clicked before.
This behaviour is consistent and very annoying (feedback from end-users!).
Issue in 3.1 and not fixed in 3.2.
I tested latest 3.2 binaries VC2012/QT5.2 - the demo programs show the same behaviour as described above.