I am having the same problem with Power BI embedded.
If I click on one of the filters (e.g., #2 or #3) in the example above, and don't move my mouse, the "loading" message is displayed and it takes longer than necessary to comlete the loading process and present the available filter values to be selected.
If I click on one of the filters (e.g., #2 or #3) in the example above, and then immediately move my mouse away from the filters, the avaialble filter values will be displayed almost immediately...
It seems like the "loading" message gets stuck unless you move your mouse somewhere else on the page...
Anyone else seeing this problem with Power BI embedded?