Hi, Tableau support provided a solution for me:
By default, when de-selecting a filter in Tableau, ALL becomes de-selected. As Properties are different for each country, they will disappear.
A workaround, in this case, is to go to any Worksheet > Filter Shelf > PropertyName.
Mark the option to show all values in the database and select all (attached image Filter All).
Afterwards, select the option to show only values in the context again (attached image Filter Context).
In the scenario, when deselecting some of the properties to a country, it will keep having selected values to other countries.
I have attached a Packaged Workbook with the workaround.