So the easiest way is to create the legend as another sheet, and remove all filtering from it. The advantage of this is that you get a bit more control over formatting (eg. you could use circles rather than squares), and you can also have a tooltip (on hover) to give some explanation to the measures/dimensions)
Hope that helps and makes sense
Thank you for your response. The Color_change_PDR is a calculated field and I am not able to create the legend in a separate sheet without any filters.
So you can (kind of) make it in a sheet, by getting a bit creative (as I've done here)...you may want to spend a bit more time and make it a bit nicer than mine!
Or the very simple way is to take a picture (screen grab) of the legend, and then bring it back in as an image.