I've seen this work on the 2.0.0.1 web client, but, it's not working in 2.0.0.2. I have only used 2.0.0.2, so, there can't be a problem with upgrading. Anyway, here's what I see:

On the Eclipse side, I make a query that is something like "Depends On > ID" = 11. It works great -- it shows me all work items who depend on work item 11. If I save this query and then run it in the web client, it works just fine. However, when I click to edit the query in the web client, the "Depends On > ID" filter gets changed to "ID", so if I now run the query (with no changes), it will only return me work item 11. (Furthermore, if I save any changes to the query in the web client, my query will now lose all of it's queries on links).

Also, I am unable to create a work item query like the one I described above in the web client. Even if I select "ID" under "Depends On", the filter will show up as "ID".

I'm unsure as to whether a work item has been filed on this. I see some related posts in here, but, they don't seem to be the same. I have a video of what I'm talking about if you want it.