Well first of all you should never have a valve on the waste line. The flow restrictor will provide all the necessary back pressure. As for the ASV, it needs a minute or two to detect the pressure change and close. On a new setup or one that has been purged for filter replacement the ASV may not function properly until all air has been removed from the lines which may take a while.
Yes, it's a good idea to waste the first gallon or so when changing filters to get rid of any residues. Then you can fill your container. After that just shut off the product water valve. The waste water may run for a while, but the ASV should kick in after a while. Just check on it every so often to make sure it does eventually shut off.