Your done nothing wrong this is how qlik is supposed to work. When you filter your data model qlik will identify the elements of your model used in the filter and display accordingly. If it showe'd an alias you applied to the particul measure or dimension in a chart how will the user know what they have filtered on.
EXample there is no reason why I can't call country product in one chart and in the other next to it product country. Shoud we display in the filter product=Germany and country=baked beans. A silly example but hopefully illustrate the point.
IT does not matter what you label your expression in the chart. The label You give will only display in the confines of the chart it is used iN. THe area you are looking at is the filter bar which is app wide and as such will display names relevant to your data model note the chart you filtered from.