Dips are caused by phase cancellations, where the sound reaching the measurement point is a combination of an original direct soundwave and a reflected sound that is 180 degrees out of phase at the dip (one half wavelength).
When you add a gain filter at that dip frequency, not only does the direct sound increase by the number of dB of the filter, but unfortunately the 180 degree out of phase signal also applies an equal and opposite signal to counteract. The result is that your dip is still there and you have wasted the gain you've thrown at it in decreased headroom.
Consider what creates a peak. The direct signal arriving at the measurement point is combining with a reflected signal that is in phase at the peak. When we apply a cut filter, not only does the direct signal drop, so does the reflected signal drop at the same time. The peak is easily reduced.
REW tells you the frequency, gain and bandwidth of every filter in the EQ Filters panel. Where are you looking that it doesn't tell you the bandwidth? Hopefully, you have the 1124 selected as the equalizer type.
brucek