The current filter/slicer visual in power BI desktop/Power BI service is not sufficient and is filled with flaws - and this particular filter is THE most important visualization for the common user.
Errors:
If you have a rather large filterlist (lets say 600 zip codes), we all the time experience that the filter "freeze". You cannot scroll all the way down.
Improvements:
Why can you not at the same time search for the item - for example by begin writing a part of the zip code, and it will jump to that particular zip code?
If you have chosen one og multiple items in the rather long list (for example between 600 zip codes) in the slicer and lets say the item is in the middle of the item list and you want to choose another item just below the one, you choose before, you should be able to open the filter and it will automatically go down to the item you chose before (exactly as SSRS works)
And why we are at it. Why not build a native hierarchy slicer. I know there is a custom visual for that, but often they are not tested fully - only support a browser and do not work or is optimized for the Power BI app (iPad, phones).