As of this month Power BI finally supports filtering slicers down to only show rows that have fact data. Before the only thing you could do to achieve this was some workaround like: I described here where you filter down the dimension using a calc table. The other approach was to use Bi Directional cross filtering which would filter down the dimension table appropriately. This leads to performance issues though.
Now you can use a measure to filter down the slicer.
Click through for an example as well as a few other tricks you can do as a result.