If you are given a Hermitian operator $\Lambda$ acting in a Hilbert space, this operator will have eigenstates $\vert\lambda_i\rangle$ with eigenvalues $\lambda_i$. Ignoring multiplicities of $\lambda_i$ for simplicity, an ideal measurement for the eigenvalue $\lambda_i$ is then represented by the projector
$$
\Pi_i =\vert\lambda_i\rangle\langle \lambda_i\vert\, .
$$
Note that $\Pi_i$ has $\vert \lambda_i\rangle$ as eigenstate with eigenvalue $1$. All the other eigenstates of $\Lambda$ are eigenstate of $\Pi_i$ with eigenvalue $0$, i.e.
$$
\Pi_i\vert\lambda_j\rangle =\delta_{ij}
$$
With this, the formalism states that, if you measure $\Lambda$ and obtain the value $\lambda_i$, the initial state $\vert\psi\rangle$ becomes
$$
\vert\psi\rangle \to \Pi_i\vert\psi\rangle = \vert\lambda_i\rangle \langle \lambda_i\vert\psi\rangle \tag{1}
$$
i.e. the initial state projects to the eigenstate with eigenvalue $\lambda_i$. The quantity $\vert\langle \lambda_i\vert\psi\rangle\vert^2$ is the probability of getting the outcome $\lambda_i$ when measuring $\Lambda$.
The state $\vert\lambda_i\rangle\langle \lambda_i\vert\psi\rangle$ is not normalized and must be normalized “by hand”: $\vert\lambda_i\rangle$ becomes the “new” normalized initial state immediately after the measurement.
In this sense, the measurement is not quite like asking “what is the component” in a specific basis, but rather “is there a component in a specific basis”. Whereas the answer to the first question is a complex number, the answer to the second is binary: either “yes” (if $\langle \lambda_i\vert \psi\rangle \ne 0$) or “no” (if $\langle \lambda_i\vert\psi\rangle =0$).
In the specific case of your example, you have $\vert \uparrow\rangle$ as initial state and the measurement operator $\Pi_{\nearrow}=\vert\nearrow\rangle\langle \nearrow\vert$ so that
$$
\Pi_{\nearrow}\vert \uparrow\rangle = \vert\nearrow\rangle
\langle \nearrow\vert \uparrow\rangle
$$
can be interpreted as asking if your initial state has some “$\vert \nearrow\rangle$ light in it”.
Of course, as you have correctly guessed
$$
\Pi_\rightarrow\vert \uparrow\rangle =0
$$
but
$$
\Pi_\rightarrow\Pi_\nearrow \vert\uparrow\rangle \ne 0
$$
i.e. inserting a filter with an intermediate orientation changes the result because now $\Pi_\rightarrow$ is like asking if there is some $\vert\rightarrow\rangle$ in $\vert \nearrow\rangle$, not in $\vert\uparrow\rangle$.