The filter is applied after the data is imported.
Instead add a WHERE clause to the SQL statement.
Reference:
https://docs.microsoft.com/en-us/power-bi/connect-data/service-gateway-sql-tutorial
Topic 2, Litware, Inc.
Existing Environment
Sales Data
Litware has online sales data that has the SQL schema shown in the following table.

In the Date table, the dateid column has a format of yyyymmdd and the month column has a format of yyyymm. The week column in the Date table and the weekid column in the Weekly_Returns table have a format of yyyyww. The regionid column can be managed by only one sales manager.
Data Concerns
You are concerned with the quality and completeness of the sales data. You plan to verify the sales data for negative sales amounts.
Reporting Requirements
Litware identifies the following technical requirements:
* Executives require a visual that shows sales by region.
* Regional managers require a visual to analyze weekly sales and returns.
* Sales managers must be able to see the sales data of their respective region only.
* The sales managers require a visual to analyze sales performance versus sales targets.
* The sale department requires reports that contain the number of sales transactions.
* Users must be able to see the month in reports as shown in the following example: Feb 2020.
* The customer service department requires a visual that can be filtered by both sales month and ship month independently.