I was wondering if we can create our own boundaries in organizational reference layer (from ArcGIS enterprise or ArcGIS Online) consumed by Power BI using ArcGIS Maps for Power BI and use the LOCATION field to filter/interact on these custom boundaries like when us ZIP code in the LOCATION field
Are you talking about using a reference layer boundaries to select locations?
If so, this is possible. See the following link:
Yes but under the condition that the polygon in question is an administrative boundary found within the Esri World Geocoder. (such as a county, etc). At this time, it is not possible to drag in your own Polygon data.