Given an infinite reductive algebraic group $G$, we consider $G$-equivariant coherent sheaves with prescribed multiplicities, called $(G,h)$-constellations, for which two stability notions arise. The first one is analogous to the $\theta$-stability defined for quiver representations by King and for $G$-constellations by Craw and Ishii, but depending on infinitely many parameters. The second one comes from Geometric Invariant Theory in the construction of a moduli space for $(G,h)$-constellations, and depends on some finite subset $D$ of the isomorphy classes of irreducible representations of $G$. We show that these two stability notions do not coincide, answering negatively a question raised in [BT15]. Also, we construct Harder-Narasimhan filtrations for $(G,h)$-constellations with respect to both stability notions (namely, the $\mu_\theta$-HN and $\mu_D$-HN filtrations). Even though these filtrations do not coincide in general, we prove that they are strongly related: the $\mu_\theta$-HN filtration is a subfiltration of the $\mu_D$-HN filtration, and the polygons of the $\mu_D$-HN filtrations converge to the polygon of the $\mu_\theta$-HN filtration when $D$ grows.