Having to open the menu each time a new colour is selected can be annoying for the user, especially since you also lose your position in the filter list. This was part of the feedback from when ORES was enabled on svwp, source: https://sv.wikipedia.org/wiki/Wikipedia:Bybrunnen#Synpunkter_p%C3%A5_anv%C3%A4ndargr%C3%A4nssnittet.

Steps to reproduce:

1. On a wiki with the extension enabled (eg. enwp), go to recent changes.
2. Click "Filter changes [...]".
3. Enable "Highlight results".
4. Click the colour dropdown for a filter, select a colour.

Actual result:
The "Filters" menu is closed.

Expected result:
Leave the menu open, allowing the user to select colours for multiple filters.

Additional information:
It's not clear if this is a bug or feature request. The behaviour is reproducible in Firefox (58.0.2) and Chrome (64.0.3282.186).