Your problem comes from the fact that you have multiple bodies and some of them are outside your component. The fillet is working on a separate body and is working properly. Before you can fillet, you need to get all the bodies into the component and the bodies need to be joined together. You might be better off if you start over and keep all the operations and sketches in the component. All the operations should be a join operation so you only end up with one body. The fillets will work then.
@Anonymous - this behavior is caused because the vertical boss in this design is a separate body:
So, that edge you are filleting is a convex edge, not a concave edge:
You probably need to go back to whatever feature created that boss, and make sure the type is set to "Join", not "New Body"
Not sure how I create that as a second body, but thanks and I will start over.