View Taxonomy Term List with Exposed Has taxonomy terms (with depth) filter
There is a issue as you ask the question.
The current answer is that Drupal 8 does not yet support this feature besides node content type.
I'm also following this issue.
more details at:
https://www.drupal.org/project/drupal/issues/2915933
https://www.drupal.org/project/drupal/issues/1040786