With UM, a user can only have 1 UM user role at a time.
One UM directory can include more than 1 UM user role (which would display users from more than 1 UM user role).
If you exclude, for example, the default UM member user role from your directory, then all users with UM user role member will not be displayed in your directory.
Kelly is an Ultimate Member ambassador and a volunteer on this forum. An ambassador is a member of the UM community who is passionate about the plugin and wants to contribute to the future success of the plugin by helping on the forums. You can learn more about becoming an ambassador here.