Hi @Carla Matos ,
Library/List web part Dynamic filtering supports only one filter. This is by default and we have no way to apply multiple filters currently. Someone has raised a User Voice on this topic here: Enable Dynamic filtering with Connected Lists to use more than one filter. I would suggest you vote for this user voice. It is a place for customers provide feedback about Microsoft SharePoint products. What's more, if a feedback is high voted there by other customers, it will be promising that Microsoft Product Team will take it into consideration when designing the next version in the future.
As an alternative I could think out, apply one Dynamic filtering like you have done in the picture, filter by the Phases Title in the Phases list web part firstly and filter by the Roles Title then in the library web part manually. A sample for your reference.
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