As useful as Filter fields are, they have always had a couple of drawbacks.
First of all, Filter fields are not cascading filters — the filters don't work together to limit selections when needed. For example, here you can see that the Region filter is set to the North region. However, the Market filter still allows you to select markets that are clearly not in the North region (California, for example). Because the Market filter is not in any way limited based on the Region Filter field, you have the annoying possibility of selecting a market that could yield no data because it's not in the North region.
Another drawback is that Filter fields don't provide an easy way to tell what exactly is being filtered when you select multiple items. In the following figure, you can see an example. The Region filter has been limited to three regions: Midwest, North, and Northeast.
However, notice that the Region filter value shows (Multiple Items). By default, Filter fields show (Multiple Items) when you select more than one item. The only way to tell what has been selected is to click the drop-down menu. You can imagine the confusion on a printed version of this report, in which you can't click down to see which data items make up the numbers on the page.
By contrast, slicers don't have these issues. Slicers respond to one another. As you can see, the Market slicer visibly highlights the relevant markets when the North region is selected. The rest of the markets are muted, signaling that they are not part of the North region.
When selecting multiple items in a slicer, you can easily see that multiple items have been chosen. Here, you can see that the pivot table is being filtered by the Midwest, North, and Northeast regions. No more (Multiple Items).