SYMPTOM:
The following informative message appears in Strategy Web 9.4.1 and above when changing an element in a drop-down selector and all targeted Selectors show blank selections:

No data returned for this view. This might be because the applied filter excludes all data.

However, this option shouldn't be checked for this case.
ACTION:
Apply the required configuration as per the Dashboard and Widget Creation Guide > Chapter 4: Providing Interactivity to Users: Selectors > Section: Determining how the target of a selector displays when no data exists. For additional information, refer to the Strategy technical note: KB33862: How to create nested or cascading selectors and avoid getting blank selections in several versions of MicroStrategy Web .
NOTE:
This product manual is available online at https://resource.microstrategy.com/Support/mainsearch.aspx, in the Product Manuals menu.