This is a completely different feature in POWER BI. So for that First
We have to create a slicer visual and, as you've already discovered, set it to Dropdown type using the upside-down carrot icon on the slicer header.
It is already by default (dropdown list is multi-select). Hold down [ctrl] while making multiple selections. However, you can control Multi-Select behavior under the 'paintbrush.' When the visual is active, click the paintbrush icon under visualizations,
For managing your slicer we need to expand 'Selection Controls'.
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