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If you have any sheet which will have all members on it, just keep this legend and hide the others. If you don't have any such legend, try making a sheet explicitly for this purpose.
1. Put your demographic group field on Rows and Color
2. Make your mark type a square
3. Adjust the Size until appropriate
4. Place this sheet in your dashboard and either
a. Keep the worksheet as your legend, and hide the actual legend, OR
b. Make this new sheet floating, size it 1 pixel by 1 pixel and put it off screen so it's not seen, and keep the legend for this sheet as it will always have all demographic groups (don't let filters apply to this sheet)