You can use Mask: Simple Shape multiple times as you have done. You just cannot use Mask: Apply multiple times. I do not see the problem you are trying to describe. What you have setup is to blur inside of 3 rectangles.
It does not have black background
A mask does not create a black background (black outside of the mask).
Your third mask blurs something that does not have much detail. Here is an example using Invert Colors to make it more obvious:
Yes, I was surprised to see that.
I often combine multiple Mask filters to create masks of somewhat complex shapes. Or to highlight or blur multiple regions on the screen.
If you want only black outside the mask, you can composite over a color clip. As a reminder, things do not composite/blend with a hidden black background; you need to specify it.