Retrieving all genes for a gene ontology term
It is filtering by your GO terms, it is only giving you genes associated with those GO terms. However the GO terms in the output are not linked to the GO terms in your input, so it is giving you all the GO terms linked to the genes which are associated with the GO terms you filtered by.
Essentially BioMart is not very clever. It has a table of all the GO terms linked to the genes, it filters the genes to only include those linked to the GO terms you've given it. Then it takes that list of genes and queries that same table completely separately, getting the GO terms for each gene.