The issue is that the filters are displaying all values in the database. You need to format [Country] filter to display only relevant values. You can do this both in the worksheet or directly on the dashboard. Just look for the drop down arrow beside the filter name and make the necessary adjustment.
Hope this helps.
Selecting 'All' Category displays every Sub-Category option.
Choose 'Only Relevant Values'
Then make a selection in the Category filter. The Sub-Category filter will only display relevant values.
Remember that you can do this both in the worksheet or directly on the dashboard.