Here is what happens in my version of the Copenhagen interpretation, where there is collapse, no consciousness, and detectors are modeled as classical objects. I believe this to be the standard version of the CI, as far as one can talk about a standard one. In any case, it is the one that can be deduced under certain assumptions as an approximate description of an open system that is part of a larger isolated quantum system modeling system + detector + environment.
My description of what happens for each single particle under the conditions of post #1 is a modification of
Demystifier's description, where detectors are not classical.
(a) At the moment of emission, the wave function of the particle is in a random pure state ##\psi##, uniformly drawn from the
Bloch sphere.
(b) At the filter the wave function of the absorbed particles ceases to exist. The particle passes with probability ##|\phi^*\psi|^2=\phi^*(\psi\psi^*)\phi## given by the Born rule, and then has the pure state ##\phi## defined by the filter. Averaged over many electrons, this probability averages to the probability specified in post #1, since the average of the ##\psi\psi^*## over the Bloch sphere is easily seen to be ##\rho##.
(c) At the measurement, what happens depends upon the particle type and how the particle was detected. In case of a photon, the particle disappears. For electrons, if the number of traces in a bubble chamber is counted, the particle continues to exist, and the spin state depends on details of the interaction with the ions. For electrons detected by a Geiger counter, the particle disappears as a quantum object and becomes part of the classical detector.