Thats right, when you are not using bridge TCP/IP is bound to your LAN adapters (and you can normally see them), but when using bridge – it is bound to the bridge network adapter (bridge itself is intermediate driver which binds like a protocol to LAN adapters and has network interface on top of it, in this case TCP/IP is bound to this interface and since WinpkFilter driver puts itself between TCP/IP and its adapters then you can see only a bridge).
If you require filtering over raw LAN adapters even if XP bridge is used then it is also possible (in general it is just a simple driver modification and we had a customer who requested this feature before).