Ideally, I think you would want to run it unfiltered and then apply your segment to the data. On a CBC analysis run, there is an option to show a Utility Report which allows segmenting on a categorical variable, but this is not available for MaxDiff at this time.
There are a couple of alternatives that might work for you.
1. To stay with your current process, I think you probably want to look in the export area. After you run analysis, there should be export fields available for the utilities for the MaxDiff run you did. You should be able to just include those in your export along with your categorical variable and the IDs should be matched up in the exported output.
2. If you have access, the other option would be to export the utilities from Lighthouse Studio in a CSV format and create a project with the MaxDiffAnalyzer (http://sawtoothsoftware.com/products/maxdiff-software/maxdiffanalyzer-com).
You can then add variables and segment by them there. This tool provides other features as well, such as Simulations and TURF analysis, if that interests you.
I hope this helps and I have submitted a feature request to have the Utility Report option available in Lighthouse Studio for MaxDiff utilities just like we have done for conjoint utilities (CBC, CVA, ACA, ACBC).