The multi column filter generator is not really suitable for generating custom wildcard filters. It is meant for entering simple text which then gets wrapped with the percent wildcard character. Note there is also the underline wildcard character, meant for any single character. But even when using an underline in the multi column filter box, it's then escaped by HeidiSQL so it's recognized as a normal character by the server then:
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So you need to enter your filter by hand in the filter editor instead:
city LIKE '%H_mburg%'