The Filter Menu filters the results only on the collection pages by default. There are certain ways to make it appear on other sections of your Shopify store, however when installed on any page rather then a collection page Filter Menu behaves as a set of direct links, meaning that when an option is being selected - you are being transferred to the chosen collection page directly.
Search Page & Product Page
You can add the Filter Menu to the search page or product page, but it does not adjust to the search term/product being viewed, and when the links are clicked it will take you directly to the collection page for that filter.
We typically do not recommend adding the Filter Menu to search or product pages for this reason, as it's not filtering the products within these pages.
Some themes do not support a sidebar on the homepage, so it needs to be custom developed. Once the sidebar is part of the theme, we can then add the Filter Menu in there.
However, it might be easier to use the existing section that is installed with the Filter Menu. You can go to your theme editor, then add a new section on the left and select Filter Menu. This will appear as a drop-down list and will work better with your existing theme design/layout.
If you have any additional questions, please contact support through the live chat in the app, or at firstname.lastname@example.org