Filtering works fine for me without any logical operator in embed url as mentioned below
https://app.powerbi.com/reportEmbed?reportId=<ReportID>&$filter=CountriesList/Country%20eq%20'United States'
However it does work when I add multiple conditions using 'or' or 'and' operators as mentioned below:
https://app.powerbi.com/reportEmbed?reportId=<ReportID>&$filter=CountriesList/Country%20eq%20'United States'%20and%20CountriesList/Country%20eq%20'Canada'
Thanks for your help.
Satindra