As the Advanced documentation of the Filter section says:
When using grouped filters with the option: 'Enable to allow users to select multiple items' checked, you probably may want to to place the filter in a separated group and define the operator of the group as 'OR'. This may be neccesary because in order to use multiple times the same filter, all options have to be applied using the OR operator, if not, probably you will get nothing listed since usually items in a group are mutually exclusive.
Therefore, you may want to create a new group (going to the 'reorder tab') and set the operator to OR. Then, just move the exposed filter inside that group.