I were facing the same problem with the variable products. I have solved it by following below steps:-
Step 1:-
Read the whole documentation carefully and how to create the products or variable products
https://docs.woocommerce.com/document/variable-product/
Step 2:-
Check the variation tabs of products and click on each variation types you can see it will expand and then add price there for all products then your price filter widget will start appearing.
For detail check below screenshot:-
