You are applying the filter after you fetch the data to tableau.
Once after connected to the data --> Click on Data Source filter --> Add the filters --> Click on Sheet 1
now what you are expecting will happen
Hope this helps
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Thanks for your answer. Do you mean it is because I published the data to Tableau Web before filtering it? But I got the .twb file from the Tableau Web, and when i open in Desktop, the data soutce filter is not working. Instead, it become just usual filter that apply to all worksheet (not data source filter)