Hi @Hatrak, Jessica,
Per my test, I am unable to reproduce your issue. In my sharepoint, I get the same result in sheet filter.
You could try to clear your browser cache or change the browser to operate. You could refer to the following issue similar with yourshttps://answers.microsoft.com/en-us/msoffice/forum/all/filtering-a-choice-column-that-allows-for-multiple/412c6367-dd84-4f1a-b7b1-61194584fb0d
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