In SX2, Filter 1 (controller 40) is named "Balance LSB" Filter 2 is Controller 41, and named that.
Create a controller lane. Bring down the list of controllers and click setup.
Find in the right hand menu, "Balance LSB" and "Controller 41". Click the highlighted button to bring them in to the active controller list.
Now, in the sequencer select the controller from the list that you wish to automate.
Hope this helps!