I reported the same a while ago Selecting Data Source in Filter not working but doesn’t seem to have been included in any updates since.
As this was kind of critical for us, we implemented a work around using an additional data source with the sole purpose of holding all “selected” objects and then referencing this data source in the filter using All. It isn’t perfect and involves som extra steps in the logic, but works for our purpose until it’s fixed.
Hope this might helps!