A filter will automatically be applied to other worksheets when using the "All Using Related Data Sources" option if the worksheets share the same primary data source. In your workbook, it looks like the third worksheet has "CountryList" as the primary data source, but neither ListA or ListB worksheets have "CountryList" as a primary data source.
The following Tableau Online Help article contains more information about filtering in Tableau Desktop 10.0 and the conditions in which the different "Apply to Worksheets" options apply:
A global filter will only be applied if two or more worksheets contain the same primary data source.
Hope this helps!
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I've got a different take than Hannah on this problem... What I see is that you're trying to use Country Name to filter A and B when the field that exists across the sources is actually the Country/Country Code field.
Unfortunately cross data source filters don't allow us to do this sort of indirection so far as I can tell - the field that we're using to filter has to exist in each source. This is different from regular Tableau data blending that would allow us to do this sort of filtering (but only to filter a single primary, not multiple).
Some options are:
1. Use Tableau 10's cross-data source joins to join the CountryList source to each of the other sources, then you'd have the Country Name field in each source and could use the CountryList source for the cross-data source filter.
2. Use a parameter & calculated fields in each source to do the filtering.
3. Do the necessary data prep to have a single data source.