I found the following path to make what I was looking forward to.

First: I format and create a measure with the current month like this -->

CurrentMonth = FORMAT(TODAY(),"YYYY.MM")

Then, I change the format to text of this measure and the one that I'm going to compare to. Once the measure and the column is in TEXT format. I create an IF statemente like this -->

Current_Month = IF('Fechas: Mes/Trimestre'[YearMonth] = [CurrentMonth], "Actual Month",'Fechas: Mes/Trimestre'[YearMonth])

And with this I finally create this filter

So, this is what I was looking to create :)