A business unit which is already blank is getting displayed when filtered using Advanced Filter option. But when we change an existing data of Business Unit to blank and then filter for blanks, the Advanced Filter is not displaying the blank item.

Investigation from MS:

The query for Dimension.BusinessUnit is unfortunately for a record in a table linked to from the Vendor table. If there are no dimension values at all for the vendor - in the financial dimensions tab - we do not create a record (by design) in the "Dimensions" linked table. This is the root cause of not finding the vendors with "blank" business units/any financial dimension with blank values, as there is no record found, and therefore cannot filter on a blank field, as no record is found at all.  

As per Microsoft support team, this is a design limitation and suggested to log in the ideas forum.

However, from a customer perspective this is a product bug. If it works for the existing data it should work for the updated records as well. With the current limitation, customer cannot get the list of vendors where the Financial Dimension is blank.