This is so by design. And because of this it is kind of misleading.
Why?
Because the way ArchiCAD Pens work is a Pen definition includes the setting for both the Pen COLOR and the Pen THICKNESS.
However, when you define an override Pen for a Reno Filter, when an element is overridden, it will be overridden only by the Override Pen's COLOR, but NOT WITH ITS THICKNESS.
I am sure this is a decision GS Product Designers had to make when designing this functionality and this is how they decided.
I personally think that in such cases it would always be the best to leave the choice to the User. So there could be a setting in the Work Environment Dialog called "Override Pen Thicknesses with Renovation Filter Override Pen's Thickness" or something. The User would be able to toggle the state of this setting. This way it would be under the control of the user and either desired output would be attainable.
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