Pass-through relationship not working... Why?

I have three tables with a relationship between each one

Table1

Key1

Col1

Table2

Key1

Key2

Col2

Table3

Key2

Col3

Relationships:

Table1(Key1) --> Table2(Key1)

Table2(Key2) --> Table3(Key2)

If I add a slicer on Table3's column Key2 and a table visual displaying Table1.Col1, I expected the table's contents to change when I select different values in the slicer.   They do not.    If I add Table2.col2 to the table visual everything works.

Why doesn't Power BI walk through the relationships from Table3->Table2->Table1 if I do not reference a column from Table2?

In SQL I can do the equivalent query and it works (see below), so why not in Power BI?

     Select Table1.Col1

       from Table1, Table2, Table3

     where Table1.Key1 = Table2.Key1

        and Table2.Key2 = Table3.Key3

        and Table3.Col3 = 'XYZ'