Hello and thank you for the opportunity to help you.
Was there water flowing before you installed the filter? Is the water supply line turned on to the refrigerator?
Here's what I'd like you to do. Pull off the grille from the bottom of the unit. On the left by the freezer door, but slightly under the unit, you'll see a round fitting attaching the water lines. If you push in on the colored sleeve while pulling out on the water tubing, it should disconnect. Make sure you push in hard on that collar. After this is done, close the freezer door and push your water paddle and tell me if water comes out of that tube below the freezer door.
According the illustrated parts look up, it appears that way. Then it should pull forward. I cannot recall if the head has the quick disconnects on it like under your door. The head tubing may run out the back of your appliance directly to the fill valve. You can also remove the tube which goes to the filter head from your valve and push the paddle in to rule out your valve as well.