The filter IS being applied to both data sources. But when you flip the blend around you're going to get different results.
On sheet 1 EU is primary and non-EU is secondary; on sheet 2 it's the other way around. The 2 data sources have different counts for the 4 Ship Mode values, so the results are going to differ depending on which table is on the left side of the join (remember that a blend is more or less a left join, and you can't make it into something else).
I'm not sure what you're trying to demonstrate with this approach.
EDIT: Sorry, correcting my first statement. You do not have the 2 data sources blended on Ship Mode, so the filter is NOT being applied to both data sources. But even if you do edit the relationship between the 2 data sources, you won't get the result you're looking for.
Thanks Michael. Would you think there is any other approach that would make it work as the way I wanted (filter updating the values) that I might have over looked.
It looks like the field Ship Mode field is not linked. It should have a red link symbol next to it (like the Segment and Order Date fields do). You can go to Data --> Edit Relationships and link that field in the Primary and Secondary.
Try that and see if it fixes the problem?