After all day (and posted it there), I eventually found the answer.
This is based on a tutorial on scito.ch (thanks), with a few changes. In the Content: Has taxonomy term ID (with depth) filter, be sure to check the Allow multiple values box. Also (there are a lot of mistakes for this), do not specify anything in WHEN THE FILTER VALUE IS AVAILABLE OR A DEFAULT IS PROVIDED . It is important to specify all these 3 context filters.
Hope this helps someone and save him on a sunny day :)
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