Eng Swee is bang On. Make sure your Filter Has NodeList selected!
If you only see the data and not the XML Tags, you have the Filter Type selected as String.
I just tried what you are trying and this is how it seems to work for me with Nodelist...
Integration Flow with Filter and Content Modifier
Filter Settings
Content Modifier Settings
Input Payload to Integration Flow
Output Of Filter Step
Output of Content Modifier Step
Regards,
Bhavesh