It's you. You haven't read up on how they should work.
I posted this for an earlier version of Photoshop with neural filters:-
Here are some thoughts that might help you.
So that you know how the filters are supposed to work, first read all you can find about neural filters on the Adobe sites.
Some requirements to download and use neural filters:
1. You need a Creative Cloud account.
2. You have to be logged into the account.
3. Photoshop must be able to access Creative Cloud.
Make sure that Photoshop's access to the internet is not being blocked, e.g. by a firewall, by an anti-virus program, or by entries in your Windows hosts file.
Make sure that your system meets ALL the hardware and operating system requirements for this version of Photoshop. Look at the requirements at the beginning of this thread and at the requirements for this Photoshop version on the Adobe site. Look at ALL the requirements. Look at all the requirements CAREFULLY. Follow and read ALL related links. Do not forget graphics card requirements.
To help others, when you find out what the problem is, come back here and tell us what the problem was and how you fixed it.