I have found a way to do that, not as beatiful as I want, but still a nice solution.
To those who are interested in this same case scenario, I have used PowerBI Javascript API, and with this API to get all pages (report.getPages()) and run it to find the active page (page.isActive), then I get all visuals (page.getVisuals()) and filter it by slicers (visual.type === 'slicer'), by there I get a list of all slicers in my page, to get values of filtered slicers I simply check if the slicer has filters (it is an array), and if it do, I add to an array to save it later.
Long story short :
User PowerBI Javascript API -> get all pages of report -> get active page -> get all visuals in page -> filter by slicer -> get all slicers that have been filtered -> get slicer state to know what have been done to this filter -> do whatever you need with it.
const isSlicer = visual => visual.type === 'slicer';
const isPageActive = page => page.isActive;
...
let embeddedReport = powerbi.embed(dashboardContainer, config);
embeddedReport.on('rendered', function (event) {
embeddedReport.getPages().then(pages => {
activePage = pages.filter(isPageActive)[0];
activePage.getVisuals().then(visuals => {
slicers = visuals.filter(isSlicer);
filteredSlicers = [];
slicers.forEach(async slicer => {
slicer.getSlicerState().then(slicerState => {
if(slicerState.filters.length > 0) filteredSlicers.push(slicerState)
})
})
});
});
....
