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Hi, Ritaf1983 ,thanks for your concern about this issue.

Your answer is excellent!
And I would like to share some additional solutions below.
Hello,HarishMJ .I am glad to help you.
One thing that can be determined about the report drill-down feature is that
whether or not the drilldown function supports multiple selection of data points for a field depends on the context of the drilldown after the current field has been filtered. When you select a field, the drilldown function is valid if the current integrated computing environment can normally allow the data to be displayed properly in the visual of the drilldown page.
URL:

Fix Power BI Drill Through Not Working [6 Tested Ways]

Maybe contacting Microsoft Support could be of more help, I have a feeling this may be an issue in Power BI Desktop

This is my Desktop vsersion:

It would be great if you continue to share in this issue to help others with similar problems after you know the root cause or solution.
The Link of Power BI Support:

Microsoft Fabric Support and Status | Microsoft Fabric

I hope my suggestions give you good ideas, if you have any more questions, please clarify in a follow-up reply.
Best Regards,
Carson Jian