Multimeter reports voltage but no power?
To troubleshoot this, first unplug it (both input and outputs) and short the filtered output momentarily to discharge any charge left on the capacitors. 

You should measure virtually a short circuit from the left (neutral) input to each of the two left outputs. Same thing with the right (hot) input wire to each of the two right outputs. If the latter does not measure close to a short circuit you've got a blown fuse. 

You can verify by measuring continuity  directly across the fuse with it completely unplugged (inputs and outputs). If it's open, the fuse is gone. You can also look at the back of the PCB and see if one of the inductor wires or one of the input or output wires has a bad solder joint (not altogether unlikely given the large diameter). Or a trace is blown off the board. If your outlet is wired correctly, it's probably a neutral (white) wire or conductor. You can remove the screws, swing the board out and examine it (wiggle the wires and see if anything in the joint moves). 

It's not always reliable to measure higher voltages alone without a load because leakage resistance or capacitance can cause non-zero readings.