Pau's design on the prototype shows a down-facing arrow on the Quick links menu. That makes sense to me.
Default message in the menu
When the user has not yet saved settings, the prototype shows a little message encouraging the user to try the feature. I like this idea. Please use this text:
No links saved yet
To save your filter settings and reuse them later, click the bookmark icon in the Active Filter area, below.
No disappearing menu
Needless to say (but I'm going to anyway), the above means that the Quick Links menu should not disappear when it is empty. Leaving it in place and adding the message above will be a good way to help let people know that this function is available.
When the user can't save new settings (for whatever reason), currently the bookmark icon disappears. This is less than ideal, I think, since users may want to make a setting but not realize how to get back the bookmark. They'll just think it's broken or that they imagined it. Better would be if the bookmark would be grayed out when not available.
Too much space between menu items
In the Quick Links menu, items are separated by about 40 vertical px. In Pau's mockup, it looks more like about 30 px.
"Unset as default"
There is no such word as "unset." (I find it unsettling!) How about "Remove as default" or "Remove default".
Rollover for long names?
The menu is making room for names of about 29 characters before they're truncated. Which seems sufficient (English could do it in less, but it's good to leave room for German et al.). Still, didn't we want to show the full name as a rollover?