Hi Prashamsa,
First try that IsNull(<Dimension>) is 1 where you don't have value. If it is 1 then your filter as "Not Null" should work.
If not, Sometime dimensions has one space ( " ") as values. So if we are putting filer as "Not Null", it will not work. Try to put filter as "Not Equal to" and give value as single space- " " (without quote).
If above will not work, concatenate your dimension with one space and try above step.
Regards
Rakesh