This function can be found on Categories and Products pages when create or edit on Data tab.
Default system does not include any data on filter, that’s why no data popup on the field.
Open the left menu in Catalog and click the Filters on row four. There is the empty list on the figure, click the create button to next page.
Get into the info page, there are part of fields are requested:
For example, Colours filter group is created, and edit the Desktop from categories. Add the Red and Black into this category and save changes.
Now, edit the product which is under Desktop and add the filter Red on it and save changes.
If the filters module is enabled, it will be displayed in Desktop on store front category page when it is done. For more details about layout setting
If the module is set on the top, the result will be same as below figure when clicking into Desktop.