Update: Rather than reading my excuses below, take a look at this answer by Rob for a BugMonkey script to bulk expand and collapse subcases.
After checking with the FogBugz Program Manager, here's the reasoning why the current filter and saved filters don't remember which cases you have expanded and which you don't:
When you filter cases in outline view, it collapses and greys out any cases that don't match the filter and always expands all the rest. This is so that when you look at the list, you're seeing all the results that match the filter and no more.
When we tried having FogBugz remember which were collapsed, it confused users since it appeared that the full results of the filter didn't include some cases.
I have opened a case to evaluate the possibility of having filters remember if ALL cases are expanded or collapsed (because this may be more obvious than just a few you clicked) but so far we have only received a couple of requests.