Its is not an uncommon problem-its getting the filter (or hose) tight enough to engage the schrader valves, tighter than I'd really like on our buddy since there are no fitting heads to put a wrench on, just smooth rounds. Its just after as tight as I can muster by hand that the schraders open enough to let gas flow. Sometimes I need to repeat, loosen and retighten as the valves open enough to light & run but after a few minuets heater shuts off (on high)- it will relight and run a few minuets then shut off again. Simply valves not open enough for required volume.
When we first got our mr heater buddy went around on this. After initially not working at all I still thought a defective heater or filter- I always start on high but if I didn't turn it down soon enough it would shut itself off. I could start on low & it would run, but not high. I removed the filter, ran hose direct it worked. Checked the filter, it flowed. So now I just, in my opinion, over tighten. If heater shuts off I tighten some more. It has gotten better or easier over time though.
Also check the male threads on the filter-they must start their life in the bottom of barrel before packaging.