When in a boss rush and selecting a wave at the pedestal, it can be toggled to waves 1, 11 or 21. However, no matter which option you choose, the encounters will start at wave 1.
This occurs whether entering a fresh boss run portal, or after dying.
I have been up to wave 31, but the waves still begin at wave 1 for the first boss regardless of the selected starting wave.
I went in to get some screenshots, and for the first time in my experience it worked as expected! This time I did the following:
Enter Boss Rush Portal
Change starting wave to 21
Proceed to boss chamber
Boss was wave 21
However, I died at wave 36, so I took the opportunity to change the starting wave to 11. When I went into the boss chamber, and killed the boss (in one stab), it said wave 1 was complete.