Relations between tables with measure column

Hi everyone,

Could you help to understand the following behavior and how to deal with this:

I have a simple structure with one fact table and two dimensions with both direction relations:

And I have a report with two slicers from dimension tables (State Name and Client Name), and one slicer for test - ClientKey directly from the Fact table: 

It is filtered by the 'Client Name' dimension slicer with Client = 5

When I added a simple measure to the fact table, for example M_Value = 10, the table is not filtered by StateKey, but Client Name slicer is still 5 and State Name slicer is filtered:

And when I check ClientKey directly from the Fact table it works as expected: 

Don't understand why relations do not work between fact table and dimensions when I use measure.

In fact, I need the measure of BKFC total, to calculate further the percentage of BKFC to BKFC Total.

To calculate percent I use the next measure:

BKFCPercent = var bigTotal = SUMX(ALL(FactTable[StateKey]), CALCULATE(SUM(FactTable[BKFC]))) return divide(sum(FactTable[BKFC]), bigTotal)

But the table is not filtered by StateKey as well.

Have I missed something?

Thanks