All user filters work based on the underlying data upon which the reports are built.
That means a couple things:
When you use a filter and click into the underlying data, you should only expect to see records that pass that filter criteria
If data is incomplete i.e. the “Lead Source” is missing for half of your leads, then when you select one of the options for a “Lead Source” user filter, it will not show any records for which that data is missing
