The Filter Menu has a lot of settings that you can adjust, including options for which components to show, fonts, colors, and design, as well as more advanced options for items like Accordions, AJAX, Apply buttons, and more.
These settings are added to your existing theme settings when you run the theme installer. To access these settings, in your Shopify admin, go to Online Store -> Theme and click on Customize on the theme that has the Filter Menu installed. Once you are in the theme editor, click on the "Theme Settings" tab at the bottom of the sidebar.
You will see an option for the Filter Menu on the first tab, this is used to add colors and images for swatches. Most of the theme settings however are located under Theme Settings -> Filter Menu (at the bottom of the sidebar).
Then select "Filter Menu"
You can also click the Edit Design button from within Power Tools if your theme is live. Then follow the same process described above, clicking "Theme Settings" then "Filter Menu".
Here is an overview of the settings, keep in mind that the Shopify UI in this video is a little out of date, but all of the theme settings are unchanged: