Hi Scott,
What a mystery!
If I was hard pressed to guess, I would propose that your Ha filter, unlike other filters that you use, for some perfectly explainable reason (for example - it's a product from Orion...), is producing reflections when it is placed close to the CCD.
When this filter is placed in the filter wheel, it is at a greater distance from the CCD, and for some perfectly explainable reason (reflected light absorbed by the filter wheel and spacer/connector?), it does not generate reflections on the CCD.
Solution: keep the filter wheel in your optical train. If it works, do not try to fix it
