Cannot apply auto filter to multiple columns

In my sheet I have row A as a big title merged across columns A-J.
Row 2 are headers for each column A-J.
Row 3 is blank to make a neat space to the drop down button that is put in place when the auto filter is applied.
I select row 3, A-J and hit auto filter. I get a pop-up that the range does not contain headers, and asked if I want the first line to be used as a column header.
Saying “yes” applies the auto filter to column A only.
Saying “no” applies the auto filter to the merged first row.
I cannot get row 3, columns A-J to each have the auto filter applied. In MS Excel you can just select A-J, hit auto filter, and poof it works. All columns have the filter show up and I can apply as needed. Not here. Why? What am I missing?

Side issue: going into data, more filters, reset and autohide are greyed out no matter what. Even with a filter selected I get nothing.

Hello @carnealse, I see no problem in version 7.0.6.2 (x64); OS: Windows 10.0.

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@carnealse, Let us know if you have solved the issue. Thanks