CRM Lead Filtering

We are trying to filter our Leads in the CRM module using the County but it shows as ‘Not Set’ for all of our Leads, I’ve checked and almost all of them have a County set.

I’ve tried with other parts of the address and nothing seems to work, am I doing something wrong or is there something that needs changing to see all Leads in a particular County?

Thanks Everyone!

Can you be more specific? Where is it showing as not set, and where is it showing as set?