Using the "Includes the Values" option in the SQL query building in ArcGIS Pro can be very temperamental from a User Interface perspective.
Currently, the window where you check the value boxes resizes when you check a box. So if you're trying to move quickly, you'll end up clicking outside of a box, which then closes the window.
After checking "11 - 11 - Principal Arterial Interstate Urban":
Then, you have to resize the pane or use the horizontal scroll bar to even be able to see the dropdown list.
So I propose two fixes to help (both should be done if possible):
1. Don't resize the check box window, keep it a constant size
2. Make sure the dropdown arrow is always visible. This should work the same way as the text boxes when you're selecting a file location in geoprocessing tools.
Side-note: Unfortunately I'm afraid this won't get much attention (votes), simply because it's a hard thing to search for. I'm sure many people are frustrated by this problem, but there's a good chance they won't find this post. So if anyone thinks of good tags to add to this, or if any Esri employees see this, let me know if there's anything we can do to increase its visibility.