Some nav-menu filters do nothing

This has to do with the fallback_cb argument in wp_nav_menu(). Most nav menus do not set this parameter, so the default value is used, which is wp_page_menu.

If you look at the source code of wp_nav_menu(), with no fallback_cb set (defualt wp_page_menu), you will see the following lines of code executes

if ( ( !$menu || is_wp_error($menu) || ( isset($menu_items) && empty($menu_items) && !$args->theme_location ) )
    && isset( $args->fallback_cb ) && $args->fallback_cb && is_callable( $args->fallback_cb ) )
        return call_user_func( $args->fallback_cb, (array) $args );

This code bails out and loads wp_page_menu(). This code executes after the pre_wp_nav_menu filter, that is why you see this filter executes. All filters after that few lines will not executes because wp_nav_menu() has now loaded wp_page_menu().

If you now test the filters inside wp_page_menu(), you will see that they fire as expected.

You can have a look at my answer here to see how I have used this to determine which filter to use

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