I agree with you that it would be a nice to have functionality, but currently we do not support this. We only support 'current iteration' option that selects current sprint.
But i have good news for you. With the upcoming release we will introduce new 'release' functionality. You will be able to mark your iterations as releases and your sprints as iterations. Then you will be able to create the view that you wanted.
Until then you can always select the exact iterations that you want in the filter, the only problem is that you will have to change the filter when the current sprint is ended.
I hope the information is helpful. Do not hesitate to contact us if you have any other questions.