this is the appearance of the filter when it is created using discrete steps
if you want it to be a continuous gradation the Don't select stepped color
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Looks you have customized the legend using Stepped Color, not pretty much sure.
Do you think the workbook can be added here?
When you create your custom palette, do you set the type as 'ordered-sequential'?
below is example:
<color-palette name="Classic Orange" type = "ordered-sequential">
<color>#7b3014</color> <color>#a33202</color> <color>#d74401</color> <color>#f06511</color> <color>#fd8938</color> <color>#fdab67</color> <color>#f0c294</color>