It probably just works like on the prophet 08 (rev 1): the velocity knop sets the amount of velocity routed to the filter envelope amount (which is also the behavior you describe). I know the rev2 manual says otherwise, but I think the manual is wrong (it also talks about negative velocity amounts?). I don't have a rev 2, so you need someone else to verify, but I think your synth is behaving properly.
Solutions? There are two:
exact solution - use mod matrix to route velocity directly to cutoff frequency
partial solution - set delay, attack, decay to 0 on your filter envelope, and sustain to a desired value. set release to max (you will still hear the filter close slowly however)