You are gonna have to explain where this third filter is. I only know of two. The screen attached to the valve body and the canister threaded up into the case.
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On start, the trans has to "build pressure" to be able to shift.
This is the common drainback problem.
I think it is caused by a bad check valve in the transmission pump.
Try adding more ATF+4. That usually helps with most transmission problems.
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Lately, my trans has been throwing a code (DNR exact code, but translates to "see trans specialist") and will go to 3rd gear for driving from a stop. I can manually override the 3rd gear start by manually selecting 1st, 2nd.
This is an odd problem. You might actually have to go to a transmission shop to find out what exactly is going on.
Do 4th and 5th gears shift ok?
My guess would be the transmission range sensor/switch or a faulty solenoid.
A good transmission shop would have the tools to do a proper diagnosis.
edit: its possible that you got a bad set of filters and that is the cause of you problems
see here:
http://dodgeram.info/tsb/2006/21-007-06.htm