Several relationships between tables but filtering does not work

It is highly recommended to avoid many-to-many relationships in a Power BI model, since they can lead to unexpected results and inevitable headaches.  You can avoid them by creating dimension tables containing a field of unique values which are common to the fact tables (for example you can create a dimension table for Seller ID since it is common to Loans, Sales and Orders).

Check out these resources:
https://radacad.com/basics-of-modeling-in-power-bi-what-is-a-dimension-table-and-why-say-no-to-a-single-big-table 

https://www.sqlbi.com/articles/start-learning-data-modeling-for-free/ 

https://exceleratorbi.com.au/create-lookup-table-power-pivot/