I think it is not a bug. The documentation says that the site is not filtered if "any" of the variants meet the specified criteria. I had a similar problem and after struggling with different programs finally wrote my own perl script to remove AF=0 variants. It works with multi-allelic variants - only the affected allele will be removed. But it only works for the specific case of alleles with AF=0 (after Beagle refinement in my case). Here it is in case you want to try it.

#!/usr/bin/perl -w

use strict;
$|=1;

while(<>) {
    if(/^#/) {
        print;
        next;
    }
    chomp;
    my @tmp = split(/\t/,$_);
    my %allele_counts;
    my($chr,$pos,$id,$ref,$alt,$qual,$filter,$info,$format) = (@tmp)[0..8];
    my $num_alt;
    my @alts;
    $alts[0] = $ref;
    if($alt =~ /,/) {
        my @tmp2 = split(/,/,$alt);
        $num_alt = scalar(@tmp2)+1;
        push(@alts,@tmp2);
    } else {
        $num_alt = 2;
        $alts[1] = $alt;
    }
    for(my $i=9; $i<=$#tmp; $i++) {
        my $genotype = (split(/:/,$tmp[$i]))[0];
        my($a,$b) = (split(/\|/,$genotype))[0,1];
        $allele_counts{$a}++;
        $allele_counts{$b}++;
    }
    if(scalar(keys(%allele_counts)) == 1) {
        print STDERR "REMOVED, AF=0: $_\n";
        next;
    }
    if(!exists($allele_counts{'0'})) {
        print STDERR "REMOVED, REF ALLELE HAS AF=0: $_\n";
        next;
    }
    if(scalar(keys(%allele_counts)) != $num_alt) {
        print STDERR "REMOVED: There are multiple alleles but at least one has to be removed: $_\n";
        for(my $i=1; $i<=$#alts; $i++) {
            if(!exists($allele_counts{$i})) {
                if($i==1) {
                    $tmp[4] =~ s/$alts[$i],//;
                    for(my $j=9; $j<=$#tmp; $j++) {
                        my $recode = $i+1; #al siguiente alelo tenemos que bajarle la cuenta
                        $tmp[$j] =~ s/\|$recode/\|1/;
                        $tmp[$j] =~ s/$recode\|/1\|/;
                    }
                } else {
                    $tmp[4] =~ s/,$alts[$i]//;
                    print STDERR "\tRemoving allele $i=$alts[$i]\n";
                }
            }
        }
    }
    print "@tmp\n";
}    


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