I did the same on my system, I got the filter checkbox in that screen.
In your case, we have now the explanation why selecting this variant doesn't filter out data, it's because the filtering criteria were not saved along with the variant, but it doesn't explain why you can't see this filter checkbox.
So, I did search a little bit... SAP note 409707 - ALV: Information (filter etc.) lost in variants says that filling out TABNAME is the field catalog with a value different from space is an issue (value '1' is also tolerated). I tested by filling TABNAME with the table name, and in that case we don't have the filter checkbox.
Please check in your program!