There is something wrong with your signals: the sampling rate is indicated to be 1Hz.
Therefore, you can't expect the filtering between 10Hz and 40Hz to work.
You need to fix this in the file your import.
For long files like this one, you should be using the menu "Review raw file" instead of "Import MEG/EEG". Or then, right-click on your file > Review as raw.
I'd recommend you start by following the introduction tutorials using the example dataset (section Get started on the tutorials page):
https://neuroimage.usc.edu/brainstorm/Tutorials