The link I sent was really more of an example than a working model from the documentation. If you don't actually have the ecommerce side set-up then it would not display anything. The InitializeOrder() is creating a list itself, but the InitializeDepartments() is actually pulling from the ecommerce system.
In Kentico there is a lot of internal error handling where you won't necessarily get your traditional .NET error page all the time. I have often found that when one part errors out, sometimes it will not even display. It could be the case in this instance. I would also take a look at the Event Logs and see if you see something through there. You can also deploy the code as demonstrated, attach a debugger and step through to see where it is erred out. Lastly I would make sure you have the right path to the filter ASCX you created. The path can sometimes be tricky depending on where you deployed it in your solution.
Overall I would use it as a framework for how you should build yours, not try to duplicate exactly.