I found an interesting article in the internet that responds to the question :

Why the hell my Filtered view in the document library in Sharepoint doesn't filter when I specify Approved, or Complete, or whatever.

In fact the solution is simple : 

When I tried to set up the filter, setting the [Workflow Status] field to Approved, the filter returned no results. As it turns out, workflow status is stored as a numeric value.


The values are as follows:
In Progress - 2


Complete - 5


Canceled - 15


Approved - 16

Rejected - 17