You are quite right and not missing anything: indeed, when you select a dimension in Pages, by default, all issues (not only epics or stories, or sub-tasks) are filtered by the selected value, and if the lower level issues do not have such a custom field or it is empty, those issues are not included in the report.
There are dimensions that can be specified for what level to be used as filters, but those options currently are limited to some dimensions only; they won’t work for components or custom fields. In any case, you may read Issue link field dimensions - eazyBI for Jira
There is an option to import a JavaScript calculated custom field in such a way that the epic issue value is inherited from epics to stories and sub-tasks. It works only for single select fields. You may want to follow the community thread here: Calculating Total user stories based on epics fields
This solution can be applied to components, with some limitations; you may read the following community thread: Applying Epic Components to all Child Tickets
Best,
Ilze / support@eazybi.com