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There isn't a problem, it just takes time for the water to fully saturate the water filter. It will literally take days, but the more water you run through it the quicker the filter will saturate completely and remove all the tiny air bubbles inside the filter. Just run a gallon or two of water each day through the filter and it'll clear up after a week or so. Other than that, in the mean time just let the water sit in the cup for about 10 minutes or so and the air will rise and exit the water during that time.
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