What version of PerformancePoint are you using? In either case you can display that many items if needed in a filter. The default in PPS 2007 because of performance reasons is 500. Obviously if you were using a filter like this or say a calendar filter you would run out of values fairly quickly. In order to modify this you have to modify the web.config files by adding an additional value - http://blogs.msdn.com/b/performancepoint/archive/2008/01/17/changing-the-limit-on-the-number-of-items-returned-in-a-filter.aspx.

Just to give you a heads up, if you have a very large dataset that has a lot of rows and use a tree filter the performance is going to be poor for loading the values. This has been resolved in PPS 2010. To get around this in 2007 you can use the list option (I know it doesn't look great, but it loads the values without performance issues).

Now in PPS 2010 the default is 5000 members by default and you can modify this in the Central Administration within the PPS web application settings if needed - http://technet.microsoft.com/en-us/library/ee620542.aspx.

Here are the instructions to do this:

To get at this setting you will need to go into Central Administration–>Application Management–>Manage Service Applications–>click on your PerformancePoint Services application to manage it–>and then access the PerformancePoint Service Application Settings. Now you can scroll down to the Filters section and you will see the maximum members setting which by default is now 5000 members.

Now getting back to your cascading filter question, this is not an option. I had heard a rumor it was going to come in PPS 2010, but it does not look like it will. Maybe it will make it into the next round, but for the time being you cannot link filters.