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The 19.4 Release Notes state that users can now save user filters on records, however the option is not available save user filters like this:
This issue has been addressed via AN-146210 in the version 19.4.46.0.
For Cloud, create a support case asking for a site restart to apply the latest hotfix and provide a 2 hour maintenance window for this request.
For On-Premise, there are two options: