I have attached a sample report based on your descriptions. There is only one parent group and the Detail (default, innermost) child group. The filtering is applied on the Report (as the innermost details get filtered).
Note that when there is no data in the corresponding group the group is not displayed.
I may have misunderstood your set up or requirement. In such case feel free to open a support ticket and send the report definition for local investigation, so that we try to provide a specific solution.
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