Leaving my own answer here in case it might help anyone in the future.
The workaround for this is to create normal filters from the left panel applied to all visuals. Then, selecting the pen tool for each of those filtering controls, you go to ‘Control options’ , then to ‘Show relevant values only’ and check all the other filters that you want the current filter to interact to. Then, you do the same for each filter to create interactivity between all those controls.