There could be a few reasons, here are some ones to check:
The collections associated with the filters are empty (filters won't appear if there are no products to show). Let's say your 'Blue' filter is not showing - please, check the 'Blue' collection has filters in it. You can click on the 'Source' column to go to the collection.
The app is not installed on your live theme. You can run the Theme Install from the Theme Installers link in the sidebar.
There are no filter groups added in the Filter Menu admin.
Make sure you have pressed 'Save and Update' in the top right corner
The app is hidden in the theme settings. Please, check under Themes -> Customise -> Filter Menu, then right at the end of the list.
The sidebar is disabled, please make sure you enable it through your Theme Settings.
If you have any additional questions, please contact support through the live chat in the app, or at firstname.lastname@example.org