I have exactly the same problem. I have an Avermedia AverTV Volar HX, which has no Linux support. OK, no worries, let's install Windows XP in a VirtualBox 2.0.2. I have the non-opensource version, which is free for personal use, and contains full USB support. XP is up and running, and it recognises the Volar HX, I can see it in the Device Manager under the "Sound, Video and Game Controllers" title. The AverTV software is also installed, and everything seems to be fine. USB filter status in the VirtualBox is claimed to be "Captured", the little checkbox in the Devices -> USB Devices menu of my VirtualBox window is ticked. When I start the AverTV software in my running XP, I can see only a black screen where I should see the TV broadcast. I start scanning for channels, and it seems to find a lot of channels, and the little checkboxes next to the channel numbers in the setup window are all ticked. Yet when I click on "Apply", and start surfing the seemingly found channels, all I get is a black screen, no sound, no video. I also tried attaching a VCR to the device, and changing the input source to "composite video" or "S-Video" - all I get is the black screen. DirectX 9 is installed in my Windows XP, so is Service Pack 2, meaning that I definitely don't lack USB 2.0 support. I have no clue.
The device works fine in Vista (I have dual boot).
By the way, I also have an ACER CrystalEye Webcam (working fine and out of the box with Linux). I also enabled the USB filter for this device in my virtual machine, and as a result, the Windows XP running in the virtual machine immediately recognised the device, and installed the driver for it. When I go to "My Computer" in my XP, I can see it as "USB Imaging Device". Normally, when I double click on it, I should see the image frames from the webcam. Instead, I see an empty grey box. The status for the USB filter of this device in VirtualBox is the same, "Captured". It seems it has the same problem.
Maybe this is the right direction to move forward: to check if there was any other possible state for a USB device with an active filter than "Capture". Otherwise I have no idea.