Hi @RodPBI - thank you for reaching out on this topic. I know this is a massive pain point for you as well as many others including myself and the team. To give a bit of backstory on the way this feature works (at the moment), it was designed this way because of limitations within the infrastructure of Power BI and how we add reference layers to the map.
When data is loaded from the data fields to a visual, a connection is made to let other visuals on the report page know that something is there or turned on. This is typical behavior in Power BI. However, when you add a reference layer to the map, the other visuals on the report page doesn't know it exists unless there is Power BI data associated with it.
At the time of this feature being implemented, the only way to "trick" Power BI into thinking that the reference layer was a data layer, was to have the widget open.
Some of the same rules apply to this method (in your first screenshot). In order for the report page to filter, Power BI data needs to be associated with the layer that you are selecting.
I know this feature is quite troublesome. As mentioned in a previous post on the forums, the infrastructure in which we built this feature was incredibly restricting. However, we have this on our project board to resolve this year (post 2024 Esri User Conference).
I do apologize as I know this has been a pain point for a long time. And I agree, having the window open is not ideal. However, it was (at the time) the only way to make Power BI know that data was on the map.
Please bear with us as we now have a path forward to make this a better experience for everyone. Thank you for your patience on this issue!