Koen Verbeeck shows how to use nested display folders in Analysis Services and get Power BI to use them as well:
On the same day, I also found out it’s possible to nest display folders in SSAS. Which was even better, because I have a project with dozens of measures and this functionality really makes the difference. All you have to do is putting backslashes to indicate where a new child folder begins
This makes intuitive sense, so good on Microsoft for supporting this.