DIAGNOSIS This points to a complete blockage in the filter path. Either the new filter cartridge has a manufacturing defect (rare), or, more likely, the protective cap wasn't removed from the end of the filter.
FIX Turn off the water and unscrew the housing. Remove the filter cartridge. On the top end (the nipple that sticks up), there should be a clear or blue plastic cap. You need to peel or pry this cap off—it's a shipping seal to keep the filter media sterile. Once removed, reinstall the cartridge and housing.
IF THAT DIDN'T WORK The internal diverter valve in the head might be stuck in the "bypass" position. Try flipping the switch back and forth firmly several times with the water on low. Sometimes it can get hung up. If that fails, the valve mechanism itself may be faulty.
HEADS UP Always check both ends of a new filter. Some older models also had a rubber tip on the bottom to pull off. Modern PFM400C cartridges usually just have the one top cap. If water never flows, don't force the switch—you could damage the lever.