In MQA mode, all filters in the DAC's filter menu are disabled (except for the filters built into MQA, of course), and you like the sound of MQA. In other modes the filters work, and you don't like the sound of the Optimal Transient filter. Seems normal to me.
The Audio Quality menu has two options, "Best" and "Test". "Best" is the way John Westlake, the designer of this DAC, likes the sound: Distortion Compensation is disabled and the filter is Optimal Transient. In "Test", the settings are changed to match the best results from John's test lab instruments: Distortion Compensation is enabled and the filter is Brickwall.
You can also go into the menus to individually adjust everything, including several other filter options, after which Audio Quality will display "User". Distortion Compensation works in MQA mode, and I leave it on at all times. I'm not certain whether I like the Optimal Transient filter; I'll have to do some careful listening.
I understand and know very well all the things from your explanation, but the problem is not the sound of the filters, it is a possible problem in the software implementation/firmware.
The scenario which anyone can try to reproduce is the following: if you set the filter of the S2 to Optimal Transient (just for testing, no necessary for listening) and play a non-MQA song from Tidal, everything sounds ok. Then, try playing an MQA song and then try to play the same non-MQA song from the begining of the test. In my case, inside the S2 something is happening and the sound become thin and low volume. If I toggle the filter switch while playing that non-MQA song, the sound become normal. It's like the S2 remains stuck in some kind of MQA mode with MQA filtering.
I repeat, this scenario is valid only when using the Optimal Transient filter.
I'm writing about this problem because I think that can be helpful for somebody.
To solve this, I'm using another filter (although Pro-Ject recommends the Optimal Transient, which probably it's not the best).