I got it to work after applying the filter in the worksheet first. Not sure why I needed that in worksheet first before dashboard, but at least it is working now.
If it was originally in the worksheet, then the sheet was placed in the dashboard (which brings in the filter by default), then the filter was removed from the original worksheet, you might see some behavior like this. As you stated, using the apply to all worksheets should generally do the trick. As a general rule, the best order is to add the filter to the sheet, add the filter to the dashboard, and apply it to all worksheets at anytime. It's usually the removal that might cause unexpected behavior.