Hello @elbaworld
It seems you have JavaScript errors in your /wp-admin that blocks Filter Set saving process. Open please Chrome console and make screenshot with red colored messages you see and provide me please with link to this screenshot. This will help to understand what possible JavaScript code conflicts with Filter Everything.
Thank you for your screenshot.
It seems you have conflict with some of your plugins or maybe it is server config issue.
1. Try please to disable other plugins one by one and to save Filter Set. If it will be possible after disabling some plugin, you will know what exactly it is.
2. Optionally you can try to save Filter Set with other filter and filter settings. Maybe it happens only with specific filter or its settings.
Disabling all other plugins the problem remained.
I tried to insert a filter for products instead of articles and it worked.
After that I tried again with an article filter and now it works.
So the problem seems solved.