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If you want the Segment Filter be shown on the report when previewed or printed, check the Display to Header checkbox.
Here's how it is shown when report is previewed/printed. Highlighted section is the Segment Filter Group type header/footer.
If multiple segments are checked, then all these segments are shown on the report.
You can enhance this header/footer by setting its Font Properties and Row Height. See How to Configure header and footer font properties and row height topic to guide you on how to do this.
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