A bit of STM32 Cube MX rant:
Wonder why an interrupt doesn't get called, though everything is set up, interrupts are enabled and the DFSDM clearly operates?
Because the darn generated code doesn't enable this particular interrupt due to a seemingly stupid bug ...
The necessary calls are there ( HAL_NVIC_SetPriority(DFSDM1_FLT0_IRQn, 2, 0); and so on), but don't get executed
So never forget to debug the third party libraries when searching for an error.