I figured out how to make this work. The attached workbook contains the solution.
In short, I used the 'contains' text function to return rows where 'customer segment' contains values from the parameter. So, when the parameter has 'Consumer/small business' selected, it finds those values in the Customer segments for Consumer and Small Business.
Self-service. I luv this! I do the same thing a lot. Just be writing out the question, describing the problem, I think our subconscious goes to work without us. Glad you worked it out.