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, click on Sales Channels, then Online Store 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 button in the top left. It has a paintbrush icon.

You will see an option for the Filter Menu in the left sidebar, this is used to add colors and images for swatches. Read more about how to do that here.

Most of the theme settings are located in the Theme Settings section though.

If the app is installed on your live theme, you can also click the Edit Design button from within the Power Tools Filter MEnu. 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Here is an overview of the settings, keep in mind that the Shopify UI in this video is a little out of date, but all of the theme settings are unchanged: