Followed the exact same steps, and in my environment it works as expected
(set the lifecycle filter to released - and only receive released in the result set)

In your screenshot you are setting the search criteria for the group "Administrators".
Are you also searching with a member of this group?
Additionally it would be helpful to know which version of Navigate you are using.
Here's a TS article describing the whole process: https://www.ptc.com/en/support/article/cs392060
But it seems you have been following the steps correctly.
One thing that you can test is, to set multiple lifecylce states by selecting more than one state in the filter list. Then a dropdown list should appear in the search. (as shown in the arcticle)
Just to see if this changes the behaviour and if the filter is applied at all.