I've had the same issue over and over again, and the only thing that has helped was getting the filter column down to under the million rows. Unfortunately it is not a structural solution if the dataset keeps on growing.
Based on my test in the latest version 2.79.5768.1082 of Power BI Desktop, the "Filters on this page" works well after publishing to Power BI Service. You may try to upgrade the Power BI Desktop.
In addition, the Report-level filter (Filters on all pages) applies to all pages in the report, which has a stranger filter effect than the Page-level filter (Filters on this page). So please check if there is a Report-level filter to override the effect of Page-level filter.
Community Support Team _ Amy
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