You need to look at the explain plans, but unless there is an INDEX or PARTITION on COL_A, you are looking at a FULL TABLE SCAN on both tables.
With that in mind, your first example is throwing out some of the data as it does the FULL TABLE SCAN. That result is being sorted by the UNION, then duplicate data is dropped. This gives you your result set.
In the second example, you are pulling the full contents of both tables. That result is likely to be larger. So the UNION is sorting more data, then dropping the duplicate stuff. Then the filter is being applied to give you the result set you are after.
As a general rule, the earlier you filter away data, the smaller the data set, and the faster you will get your results. As always, your milage may vary.