What is the setting? Your machine is controlled by a 'humi-stat'. It comes on when the machine detects the % moisture in the air is more than that number you selected on the machine ... usually a number between 45 and 100 %. If your machine turned itself on, there must be some humidity in the air (50% is the ideal, BTW). The machine works based on natural laws that cannot be violated. Think Dew Point - think hot air going over cold surface. Think a glass of ice water sitting in the sun on a hot humid day. Think cold can of soda on a hot day. ... and so forth.
The filter would have little effect on the actual operation. The filter is to keep the dirt off the cold, normally wet coils. Were it not for the filter, the coils would become clogged with dirt and there would be no air movement over them to remove the water. Still, the filter doesn't actually have a big impact on the mechanical operation of the device - You have done well, keep it clean and in place.
So, you know there is humidity in the air that exceeds the setting on your machine, right? If there is water in the air and the machine is operating normally, there will be water on the coil that drip into the bucket and into the hose, into the drain ... ultimately back to the sea, full circle.
If it is not wet, perhaps you have set the humistat to a number where there is little water to remove - it may be removing that tiny bit of water and because it is so dry in your space, the water may be going right back into the air. Air does want a certain amount of water in it. Too little and you will not be comfortable, furniture will dry out - crack. Your nose will dry out - you will be very uncomfortable - static electricity will be prevelant - you will get shocked as you move about the space. Think about cold dry winters when people actually put water back into the air for their comfort with a HUMIDIFIER. During such conditions, the water (in the tank of the device) just disappears into the air.
So what to do. I suggest you review the setting on your machine. Set it to 50%. Get a device to measure the humidity such as one found on this page: http://www.calright.com/products/gr_id/64/?gclid=COGVyqD14KoCFcl95QodTEOj6g
. Of course, it would be nice if you purchased the device from a FixYa.com advertiser - look around this answer for their advertisement.
I would run a fan in the space to circulate the air so the dehumidifier has the best opportunity to measure all the air, and treat it. If the machine continues to not produce any results (water) you may have a faulty humi-stat or your device may have a leak - thus low or no freon or other agent inside - to make cool coils for the warmer, humidity laden air to flow over thus causing the humidity to give up its hold and condense on the coils, fall to the bucket, etc.
I hope this discussion helps you with your trouble. Thank you for your interest in FixYa.com