Unfortunately, "dragged a Local Data filter (from Boxes menu) into the dashboard window" is not specific enough. It is important that you drop the object in the right location, such as inside another object. Blue lines appear to hint at the drop point and the affected boxes as a guide.
The context box provides the environment necessary for the filter to work with the other objects. Please see Help > JMP Documentation Library > Scripting Guide > Chapter 11: Display Trees. See the Construct Custom Windows section. The information about the two container boxes you need is on starts on page 560 in the current JMP 15.1 documentation.
You should also read Chapter 16: Creating Applications for a good overview of the process and the tools.
The Application Builder provides a drag and drop interface for combining the display boxes appropriately.