The action filters you set up also get put on the individual worksheets with the little venn diagram symbol (after the first time you trigger them). You can go into those filters on the worksheets and apply them to other worksheets across dashboards. However this becomes a tricky proposition in that they might have other unintended consequences in the flow of filtering through the dashboards.
When you just use "ALL" as your list of fields to filter on, Tableau takes the fields on that sheet (not fields from a previous sheet!) and filters with them.
Your Average Monthly Headcount sheet doesn't have any dimensions on it. So noting is really getting passed to the next dashboard with that Action.
What I did was this:
On the Average Monthly Headcount sheet, I edited the "Country Work State" filter that was added by the action from "Headcount By State" and did "APPLY TO" so that the filter also applied to the Total Headcount sheet that is on the second dashboard. Now you see that one sheet pared down by the values from that filter. You'll need to do the same with any other pertinent filters from the action in the same way.