The way the Price Filter widget works is - it requires a default WooCommerce page.
This means that the price filter can only be set in the sidebar on default Shop or Category pages.
In order to do that, you need to make sure your Shop page is selected in Dashboard > WooCommerce > Settings > Products :
Now edit the Shop page by navigating to Dashboard > Pages, then find and Edit the page; after this, scroll towards the bottom and find "Choose Widget Area in Sidebar" and select your Area.
The next step involves navigating to Appearance > Widgets and place the Filter Products by Price widget into the widget area that you selected in the previous step:
In case your Price Filter is behaving oddly, navigate to WooCommerce > Status > Tools, and regenerate the Product lookup tables by clicking the Regenerate button:
Now you should update the database by clicking the Update database button located on the same screen:
WooCommerce will now add these tasks into the Scheduled Actions queue. You can manually Run them one by one under WooCommerce > Status > Scheduled Actions, if you do not want to wait for WooCommerce to perform these automatically.