Exposed filter default value on page vs in block

We have a taxonomy exposed filter with a dropdown that isn't required, and it has a default value selected.

When it's shown on a page, the default value comes up fine. When the form is in a block, the value shown is "- Any -" (even though the view is filtered correctly with the default picked in views), but when you go to the next page with the pager, it then shows the default or selected value.

It seems like only on the first page the block isn't getting told what the selection is, even though the view seems to know about it.