The Global Scope Indicator shows the current global filters applied to the active sheet.  In addition, it allows you to active a new sheet while using the currently active filters.

Selections appear in the Global Scope Indicator if a widget that is set to "Affects Global Scope" is added to the sheet or if explicit filters are dropped onto it directly from the Data Browser.

 

The "Always keep selections when changing sheets" option will keep selections whenever a sheet is changed, even when it is done from the sheets tab strip.  This property is saved per document, so make sure you save the file if you change this setting.