Please share a sample workbook. or some screen shots of the steps you are taking.
This shouldn't be happening so curious to see what you are trying to do. Hopefully your missing something and this is an easy fix.
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If you drag the measure values onto the Label Box within the Mark Pane, like below, this should display the marks consistently. I believe what you are doing, is applying the marks to that set of data points defined in the filters at the point which you apply them.
Doing it this way assigns the marks to the whole worksheet irrespective of filters.
See Alastair's answer above.
He is correct with what you need to do and how this is different from what you are doing.
If you need further assistance please let us know.
Thank you very much, for your time and responses