With the introduction of hiding collectibles that is not specific to your covenant in 2.3.2, there seems to be a few pets that is missing this flag:

• Sinheart (Venthyr) - https://www.wowhead.com/npc=172570/sinheart
• Jiggles (Necrolords) - https://www.wowhead.com/npc=174088/jiggles
• Trootie (Nightfae) - https://www.wowhead.com/npc=173587/trootie
• Ruffle (Kyrian) - https://www.wowhead.com/npc=174087/ruffle

Unfortunately, none of the Pets in the general 'Pets' category have any additional filtering right now, but the Covenant tags have now been added to the vendors who sell these Covenant pets (and other Renown items) so the items themselves should be tagged correctly in the next release (197666d).

Hmm there already is a kind of filtering in the Pet Journal tab (I assume that is what you refer to), for example Bucketshell (Horde only) and Sir Snips (Alliance only), will only show for the respective faction or am I misinterpreting your response?

Its fixed in the release. Imunicke applied the covenant filter to those pets.