In Power BI, only direct relationship between two tables can make the slicers cascading filter each other. In this secnario, the country and company have "many to many" relationship which might be described in a fact table only. So if you filter company dimension member, the country dimension member slicer will not be filtered.
In this scenario, you should create a intermediate table like a fact dimension in your cube, use the country and company members in this fact dimension as slicers.
Thanks for the reply. Unfortunately, this doesnt solve my problem. I am conencting over live connection.
I have country and company in different dimensions already created in the cube. When I browse in the cube, the company and country are aligned accordingly as per the regions. But when I create two seprarate filters in Power BI and try to select any one item from the company, the country slicer items doesnt change.