Create a new grouping of any dimensions belonging to the same cube. Add the new group, rename it, and drag selected dimensions into it. Enable Key Slicers to see the grouping displayed on the widget.

Display Collections (or saved filters) from the same dimension as dimension members. Select a dimension where collections have been saved and pick which to display. Dynamic collections work too, as long as they are saved at the dimension level.

Select a Cube to see its Available Keys and Dimensions. Pick your Dimensions or Key Lists from the Available side and they will appear on the Selected side.