When multiple roles need to be filtered into a list, the list items being captured for that specific User Role.Role need to all be associated with that User Role.Role. If you need other roles to be pulled outside that User Role.Role object, add another User Base object and associate the new User Role[1].Role with those roles.

I need a list that contains Students, Incoming Students, Parents, and Parents of Incoming students.

In the list filters, you need to have the following setup:

User Role.Role = Student, Incoming Student
User Role[1].Role = Parent, Parent of Incoming Student

This can be setup in either the Global Filters or Object Filters depending on how you are creating the list.

If two User Role.Role filters are added to say Global Filters and it is run, no results will return. Make sure the roles are on the same line unless it needs to be broken up. If it needs to be broken up, add another User Base object and filter for the roles.