The issue I had was that I created a filter that added -- [data1] "-" [data2] -- together and called it "Data1 + Data2" instead of being separate fields. In my data sheet, these were both columns that I needed to link together.
I then created a parameter called 'Sorting Key' that would work as a string, and 'allowable values' as a list. I then selected the "Data1 + Data2" sheet and then selected ok.
I then created a second filter called Data1 + Data2 NEW that said the following:
CASE [Sorting Key]
When 'X' then [Data1 + Data2]
When 'Y' then [Data1 + Data2]
X & Y are the fields within the Parameter options, so you are essentially linking the parameter and field together using this.
I then added the "Data1 + Data2 NEW" filter (making sure it is a dimension) to the rows or columns (depending on where you need it) and added it as a filter in the filters box.
When using this on several worksheets and importing them into a Dashboard, I was able to filter all of the worksheets within the dashboard at the same time, whilst sorting and filtering together.
The issue is now resolved as a result of this.
Thanks for the update Stephen, glad to hear it's resolved