The latest update of Power BI (2.70.5494.562 64-bit (June 2019)) has a crucial bug which I hope Microsoft fixes as soon as possible.
If you go to Edit Queries and have a column which has a null value. If you transform that column such as upper case the values in that column, trim that column, etc. and then after those applied steps, if you try to filter the null value out, it will NOT filter the null out.
It seems Power BI is applying those transformations to a null value (such as trying to capitalise a null value) and that step changes the null value. When you try to filter after the transformations, Power BI doesn't recognize that it's a null value anymore since it's been tranformed, and it refuses to filter it out.
I've been able to re-create this issue with a colleague as well. Here is a screenshot.