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As you picked to show 'only relevant values', When you make a selection in the 'Third filter', there is only 1 value tied to it in the 2nd filter, so it is automatically filters to that selection in filter 2(because of relevant values) and filter shows 'All'.
Same thing happening with the 3rd and 4th filters. You have either train the users to use filters 1,2,3,4 in that order or don't show the relevant values (at least for 1 & 2).
Thank you for your answer Maneesh. Is there another way to make my filters dependent on other filter without using "Only Relevant Values"?
I don't know if it solves the issue but try make=ing them context filters. You can read more about them here.
Basically it creates and temp table for the selection and other filters can only show values for that context filter selection. So, if you make Region filter context, for other filters, play around with selecting 'All values in Hierarchy' or 'All values in Hierarchy and context' etc, see if you can get what you're looking for.