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The filter is not lossy its shunted by a lossy termination, the other filter.
The other filter is NOT an open circuit at some other frequency its a highly reactive load.
as such it may be possible to build two diplexers to route Rf through based on frequency but
at HF a suitable diplexer with at least 30db isolation is going to have a few DB loss and
you need two the losses will be high and you will need to tune them.
Simple solution, relays. Sophisticated solution, diode switches. You remove the
existing filter and build it next to a second more selective one with switching to
use A or B. Dead bugging them on a strip of copper clad for a good ground
path and putting a SPDT relay at each end (or diode equivilent) will work
very well. You will need to coordinate the switching with software to assure
the right BFO/LO2 combo.