Is the role in dashboard and your IdP exactly the same? Meaning for example sitea_viewlive;siteb_viewexport. I've done this in several IdPs and they all work the same. As long as the role in the IdP is the semicolon separated list of exact names from dashboard it should be working. If you look at the SAML login history in dashboard, find a recent login, then view the XML and look for the roles section near the end do you see the multiple roles? If yes on one line with semicolons or separate lines? If it's on separate lines it's not configured correctly and won't pass multiple roles and will only honor the first role matched.
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