Include ALL custom administrator roles when Filtering users or
by default tenant has several custom filters defined. These are based on several but not all custom administrator roles. Role of EXO, Skype and SPO admin are not part of the default nor can a customer filter be created based on role attribute.
Rami Harasimowicz commented
Agreed I voted, need this in the GUI/portal. It is possible in PowerShell with Get-MsolRoleMember.