Filters are explicitly not a security feature. Any attempt to use them as such is ill-advised.
To implement role-based security / Row-Level Security (RLS), you'll need to use the Enterprise Gateway with a live connection to an SSAS model, either Multidimensional or Tabular that has RLS enabled. For these connections, PBI will pass EffectiveUserName to the source DB, where security roles can be evaluated, and the returned data includes only that which the user authenticated with the PBI Service has access to.
No other source that supports DirectQuery and no hosted data model can currently support role based security. With any of these sources, the only security is binary - access to the full dataset or no access to the dataset. DirectQuery sources can have stored credentials chosen by the Enterprise Gateway admin. Hosted data models will include whatever data their own source queries include.
