Hey Nicole,
For the dropdown filter style, what you’re seeing there on the site is the correct functionality and display.
If you haven’t already, however, you can change the filter style and that might work better for you needs here. To do this, head to Events > Settings > Filter Bar in your admin. Then, find the filter you want to update, open it, and change the “Type” to something else. Here’s a screenshot of this “Type” option for reference → https://cloudup.com/cRXydzRDaLF
Depending on your theme, the UI of one of these “Types” might work better for you. For example, I tested out the “Checkboxes” type on my local test site, and even after applying the filters, the dropdown checkboxes stay open, which might be the type of functionality you want for yourself (see here) → https://cloudup.com/cXWyxC6m0c8
Let us know if this helps!
Thanks,
George