There is an anti-drain-back valve in the oil filter. It's put in to keep the filter full so there is always oil flow as soon as the engine starts. Did the filter feel heavy as though there was oil in it?? Did it weigh more than the new replacement filter?? If so everything is normal.
P.S. I use the Fram 7317 instead of the 6607,... I's the one used for the 2002-03 Mazda 626 V6,... It's the exact same dimensions, thread size, gasket size and valve pressure but it's taller, so has more filter media inside to do its job,... It's a dollar cheaper too at my store.