Category selected for Filter widget type reverts to None as soon as the Variables sidebar is closed. The Field Type in the Data Model for the selected table are all Category plus one key field. End result, no filter is created for the Native SQL Question.
I cannot reproduce.
Post "Diagnostic Info" from Admin > Troubleshooting, and which database type you're querying.
Also post the output of the field by going to
/api/field/123, where 123 is the field ID, which you can see in the URL by going to Admin > Data Model > (db) > (table) > (column)
Problem solved with v0.40.1