I am looking to do a Budget vs Actual by Custom Segment. I am able to enter a budget for a custom segment, but I cannot find a way to run a Budget vs Actual with both the budget AND actuals for a single custom segment (i.e filtered by a custom segment value). Anyone have this challenge?

I thin you can filter by your segment. There is a suite answers article about custom segment limitations worth reading

Unfortunately it looks like when you filter by the segment, you can filter either by the Budget OR the FInancial, and when you filter on either you lose the other.