Selecting your own custom DirectShow filters is an advanced step, and something that "Average Joe" wouldn't really ever be doing. You have an admittedly troublesome MPEG-2 file there. It quite likely has an encoding error that ZoomPlayer has been specifically coded to work around.
EDIT: It could also be that ZoomPlayer is using a different Video Renderer than MC is. Have you tried setting MC to different Video Renderers (also done in the "Select Filters" dialog box for each individual media type)? ZoomPlayer uses the old-school Overlay Renderer by default I think, which is more widely compatible but less featureful. MC tends to use the VMR9 renderer by default (if available), which is the newest and most advanced option but is less compatible with older hardware and bad drivers.
To answer your question though... When you select no filters, it simply builds the regular DirectShow graph. The same as Windows Media Player and any other DirectShow player does when playing back a file. When you select 1 or more, it will attempt to build a graph based on those selected filters. If that graph fails (the output pins can't connect to the input pins to build a complete render graph) then it either ignores certain selected filters, or it fails over completely to the default graph.
The default graph is built based on two factors: a) each individual filter "tells" DirectShow what kinds of media streams it is able to render, and b) DirectShow assigns (or more precisely, the filters assign to themselves when you install them) a priority number called its "merit score".
When you play a file, DirectShow attempts to build a chain of filters capable of decoding the content based on these two pieces of information. It tries filters matching the stream type, in the order of which filter has the highest priority first. If the "render" fails, then it tries the next highest priority set, and so on and so forth until it runs out of options or succeeds. Just because it "works" doesn't mean it's necessarily finding the "best" filter graph.
MC's DirectShow Playback settings dialog overrides the priority part of this sequence of events. If you select one or more of those filters, it overrides the normal merit score system (perhaps by temporarily elevating them to the highest possible Merit -- I'm not sure of the details of this mechanism). So, you can force it to "try" to use a different filter to play a file back, but you can't force it to use one or fail outright. If it fails, it will automatically default to try the next highest priority filter to render the file.
PS. I've simplified this a bit for the sake of explanation, but that's the general idea of what happens when you try to play a file back via DirectShow.
EDIT: MC's DirectShow Playback Settings dialog provides essentially identical functionality to ZoomPlayer's "Smart Play" feature. One other thing I didn't explain above is the difference between the "Source Filters" and the "Other Filters" in MC's UI. This is pretty simple, really:
Source Filters: used to decode the container file format (described in an earlier post above by me) and extract the actual audio, video, metadata, and subtitle streams (among other information). Sometimes these filters are called "Splitters" because they split up the audio and video streams. An example is the Haali Media Splitter, which can decode MP4, AAC, and MKV files (among others).
Other Filters: these should really be renamed "Rendering Filters" or "A/V Filters" or something like that to be more clear, but essentially these filters take the outputs from the Source Filter (the A/V streams generally) and decode them and send them to the Video Renderer and/or the DirectSound Device (your sound card driver). Generally you'll need one filter to process each "stream type" that comes out of the Source Filter (though many handle more than one type of stream, like FFDSHOW). Examples of these are the FFDSHOW MPEG-4 Video Decoder (ffdshow.ax), XviD Video Decoder (xvid.ax), the Microsoft MPEG Audio Decoder (quartz.dll), and DirectVobSub (VSFilter.dll).