If alpha channel is added, you can not use Round Corner Filter.
To remove alpha channel, use Layer -> Transparency -> Remove Alpha Channel
I solved this. If you meet the problem, check the file extension. It seems that round filter does not work with PNG images even if there is no transparency at all. When I loaded JPG, it worked well.
Some filters do not work on pallet based images. Make sure your image has 24-bit colour depth rather than something like 8-bit (be aware that some formats, like PNG, can support 1-, 2-, 4, or 8-bit pallet based images as well as 24-bit RGB ones).