If you want your application role to be BI Consumer plus other permissions, the easiest in my opinion would be to have your new application role to inherit from BI Consumer. Therefore you should see BI Consumer in the "Memberships" screen. It would be easier to manage because in permissions you would only need to add the extra permissions you want on top of BI Consumer and not have to replicate all the BI Consumer permissions in the first place.

And why do you make all those other default application roles as members? If you have a very custom security model, you better build it independently and make your own custom roles inherit from the default one when needed, but not the other way round.

Also, BI Consumer vs DV Consumer: if you works in DV and not "classic", you maybe wanted to start from DV Consumer instead of BI Consumer?

Just as reference, from the documentation, keep in mind the default inheritances in place for the default roles: