Hello and welcome to the forum.
I use fields from external lookups regularly, often in filters, and often as key fields in summaries, but I've not encountered problems with them in this way.
What's the exact message that your getting? What's the data source file format? What is the field type that is being filtered (character, numeric, date)? Does the filter return records in the Table window? What type of filter is it that you're using (formula-based, value-based, even compound)?
Would you be able to post brief samples of the lookup data and the report data (or whatever the original source) so that we can duplicate your effort?