You are having the issue since you are applying multiple action (highlight as well filter) on the same worksheet. So Tableau ignores one action and carries out the other. Would your business requirement allow you to show the field 'Activity' as a separate worksheet. If yes that's the easiest way to set a hyperlink on it and leave the filter on the worksheet Activity List as it is.
I would be glad to learn from anyone from in this community to show how the same worksheet could be used for two different type of actions under the same dashboard.
It's not ignoring one activity and carrying out the other, it is doing both activities in both cases. I understand there may not be a solution to this, but it'd be great if there were!
I realize this isn't exactly what you want, but could you try making the Hyperlink a Menu action, so folks would have to manually select it before going to the page, while your dashboard would continue to filter?
If you want to use the filter as well hyperlink then go with menu option.
If you don't want to click some other columns in report then use blank object with floating to setup.
Thank you for the suggestions, everyone! I think I will just make my strategy filter a drop-down filter instead of an action filter. Not really sure why I didn't do that originally.