Confirmed, this is still an issue on Moodle 2.8.6 with both MathJax and TeX filters enabled (in that order respectively).
The only way it seems to work correctly is when MathJax is loaded for all Moodle pages (adding MathJax javascript loader at Site administration > Appearance > Additional HTML within HEAD). I have adopted this configuration for now and disabled both the MathJax and TeX Moodle filters, as no combination of the filters settings are able to get this working as hoped.
This workaround is available to Moodle Admins, but otherwise any users with only Teacher access would otherwise be out of luck.