please see the online training : https://gettingstarted.mendixcloud.com/l
Maybe implement and On change microflow for the first dropdown, that refreshes the page/object. This should change the values shown in the second dropdown, if the association is set correctly. The same goes for the thrid dropdown.
You should use the Constrained By property of the Reference Selector
A reference selector can be constrained by one or more paths. This is typically used to make one reference selector dependent on another. For example, in page where you can edit an order line, a product selector can be constrained by a category selector. After selecting a category, the product selector is constrained by this category and shows only products in the category.