The classic library Metadata Navigation and Filtering feature does not work the same as in the classic experience but still available, as you mentioned, the “hierarchy and key filters as drop-down at the left navigation” have been removed from modern SharePoint.
Metadata Navigation and Filtering is displayed in the information panel as Filters in modern experience, and all filters displayed in a flat structure (choices with checkboxes).
You can see the Tech Community blog here for detailed information: SharePoint filters pane updates – filtering and metadata navigation for lists and libraries.