ALLEXCEPT seems to be ignoring Visual Level Filters

igonzalezb , I am not sure if logic is correct. But you can try like

Measure LW = CALCULATE([Measure],
FILTER(
allselected('DateTable') ,'DateTable'[Weekday] = max('DateTable'[Weekday] ) &&
'DateTable'[Date]<MAX('DateTable'[Start of Week]) &&
'DateTable'[Date]>=MAX('DateTable'[Start of Week])-7))

for WOW you can refer my  blogs

Power BI — Week on Week and WTD
https://medium.com/@amitchandak.1978/power-bi-wtd-questions-time-intelligence-4-5-98c30fab69d3
https://community.powerbi.com/t5/Community-Blog/Week-Is-Not-So-Weak-WTD-Last-WTD-and-This-Week-vs-Last-Week/ba-p/1051123
https://www.youtube.com/watch?v=pnAesWxYgJ8