Could you please explaing what you mean by Loopback0 filter? Below is my security filter i applied on the interface using vrrp. I also notice that VRRP advertisements are being send but not received (see below)
set security zones security-zone my-filter host-inbound-traffic system-services ping
set security zones security-zone my-filter host-inbound-traffic system-services telnet
set security zones security-zone my-filter host-inbound-traffic system-services ssh
set security zones security-zone my-filter host-inbound-traffic system-services traceroute
set security zones security-zone my-filter host-inbound-traffic system-services http
set security zones security-zone my-filter host-inbound-traffic system-services snmp
set security zones security-zone my-filter host-inbound-traffic system-services ntp
set security zones security-zone my-filter host-inbound-traffic system-services all
set security zones security-zone my-filter interfaces fe-0/0/0.0
set security zones security-zone my-filter interfaces lo0.0
set security zones security-zone my-filter interfaces fe-0/0/7.0
set security zones security-zone my-filter interfaces fe-0/0/2.0
set security zones security-zone my-filter interfaces fe-0/0/5.200
set security zones security-zone my-filter interfaces fe-0/0/6.0
set security zones security-zone my-filter interfaces fe-0/0/1.0
set security policies default-policy permit-all
ops@JSRX-100-E10# run show vrrp interface fe-0/0/1
Interface: fe-0/0/1.0, Interface index :69, Groups: 1, Active :1
Interface VRRP PDU statistics
Advertisement sent :71817
Advertisement received :0
Packets received :0
No group match received :0
Interface VRRP PDU error statistics
Invalid IPAH next type received :0
Invalid VRRP TTL value received :0
Invalid VRRP version received :0
Invalid VRRP PDU type received :0
Invalid VRRP authentication type received:0
Invalid VRRP IP count received :0
Invalid VRRP checksum received :0
Physical interface: fe-0/0/1, Unit: 0, Address: 20.20.1.2/24
Index: 69, SNMP ifIndex: 504, VRRP-Traps: enabled
Interface state: up, Group: 1, State: master, VRRP Mode: Active
Priority: 50, Advertisement interval: 1, Authentication type: none
Delay threshold: 100, Computed send rate: 0
Preempt: yes, Preempt hold time: 150
Accept-data mode: yes, VIP count: 1, VIP: 20.20.1.99
Advertisement Timer: 0.565s, Master router: 20.20.1.2
Virtual router uptime: 05:31:47, Master router uptime: 02:07:03
Virtual Mac: 00:00:5e:00:01:01
Tracking: disabled
Group VRRP PDU statistics
Advertisement sent :71817
Advertisement received :0
Group VRRP PDU error statistics
Bad authentication Type received :0
Bad password received :0
Bad MD5 digest received :0
Bad advertisement timer received :0
Bad VIP count received :0
Bad VIPADDR received :0
Group state transition statistics
Idle to master transitions :0
Idle to backup transitions :6
Backup to master transitions :6
Master to backup transitions :0
[edit interfaces fe-0/0/1]