Grain filler doesn't take stain the same as wood, so you end up with a noticeable color difference (unless this is your desired look).
Some ways around that are:
1) Stain, then seal with Sealcoat, then apply your grain filler, seal, and apply a glaze over the sealed wood
2) Stain, seal, and use a clear grain filler
3) Stain, seal and use 2-3 coats of a high solid content finish as your grain filler, then level sand and apply your topcoat(s)
Bob "Boardman" Borders