Hi skilover,
Based on your description, when we had tested at our end by taking sample Excel sheet with 15 columns and 1100 rows in Excel version 16.20 Build (181208) on macOS version 10.14.2 and applied filter for the all the data.
When we click on the down arrow on one of the columns, we got the filter window as below:

From your description, we can understand it’s not similar to the above. So, to clear understand the problem at your end, can you please provide the following:
- Your Excel version (Open Excel application> Excel> About Excel> note down including Build number)
- Your macOS version. (Click on Apple icon> About Mac)
- Please provide the video of the problem via private message.
- Check whether the problems occur only in specific worksheet or every worksheet? Also create a new Excel worksheet with sample data> Apply filter> Check whether when you click on the down arrow it appears as above or not?
In addition, we suggest you open Mac in the safe mode> open Excel worksheet and check whether the issue exist, provide us the result.
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Regards,
Chitrahaas.