@Marc_ - Hello there! My name is Anthony and I am a product engineer on the ArcGIS for Power BI visual. I was looking over this issue and I would like to help out if I can!
Thank you for providing some sample data to reproduce this issue. As I looked over the workflow, it appears that this specific workflow is not yet supported in our visual. Currently, filtering in our map can only be done on the same page as the visual.
This is highly requested action in our visual. In Power BI, it is common to slice and filter data across all pages of a report and so our visual should respond the same way! This would be a good addition to our ideas page so we can review it with out group and plan it out.
If you have other ideas of what you'd like to see added, feel free to post them here:
https://community.esri.com/t5/arcgis-for-power-bi-ideas/idb-p/arcgis-for-power-bi-ideas