That’s quite normal filter behaviour what you describe, see:
- Steven W. Smith: The Scientist and Engineer’s Guide to Digital Signal Processing - filter algorithms (theory and practical programming)
- Julius O. Smith III: Introduction to Digital Filters with Audio Applications - audio filter math (theoretical foundations)
Both books can be read online for free.
The “filter frequency” is the -3 dB point.
First order filters do not go from a flat frequency response then suddenly switch to -6dB/octave. The roll-off is a curve that has a gradual transition from flat to -6dB/octave. The corner frequency is usually defined as the -3dB point (as it is in Audacity), so there will be a gradually increasing amount of attenuation as it approaches the corner frequency.
If you apply (hp s 2000) to 30 seconds of white noise and then analyze it with “Plot Spectrum” (in the Analyze menu) you will see the characteristic curve of this type of filter.