When editing dashboard filters with multi-select values, very frequently the select list of values is longer than the filter dialogue that it sits in, meaning the Apply button is obscured. I've seen this catch out just about everybody that has used a dashboard filter in our org – it is easy to assume that once you have selected a value you want to filter on that the filter is set, and then just click to close the filter dialogue.
There would be a few solutions to make this better, I think the best option, however, would be to simply have the filter selection apply as you select options, and remove the need to have the apply button. The other options would be to have a warning if you try to close without applying, or to make sure the apply button is visible even when the muli-select is open.