The behaviour you described is just how the WC Admin works. At the moment, it doesn’t include multi-currency capabilities, such as conversion of totals or filtering by currency. Such aspects are delegated to the multi-currency solution running on the site.
We contacted the plugin’s authors to see how it can be extended to produce accurate reports in a multi-currency environment, for example to show sales totals in shop’s base currency by converting each order total before the calculations take place. When that will become possible, we will release a solution to “bridge” the Analytics with our multi-currency plugin (Aelia Currency Switcher). The authors of other plugins should then be able to do the same with their solutions.
Plugin Support
Nicola Mustone
(@nicolamustone)
Automattic Happiness Engineer
As Diego explained, WooCommerce admin does not support multiple currencies. It will use the main currency set on the site.
If you have a multi-currency plugin installed I recommend contacting the plugin author to get further help.