As far as I know, the Filter widget does not create additional Data or Message action, so what you're seeing is correct. Getting your filter settings to apply across multiple data sources is currently not possible, though I believe there are people already asking for that capability.
An alternative is to use the Query widget, which can interact with other layers. Below is a query widget configured to let users select a document number. The query widget has a message action to filter another layer based on their corresponding fields. (The data I had handy don't actually share a field, but I think you get the idea.)
- Josh Carlson
Kendall County GIS