We added a filter to our list to avoid reaching the view threshold (original question was here: SharePoint List View Filter display 1 week) but despite the filter being active (currently the view is showing 11054 items) when I go to list settings it says 12656 items and a warning that we're reaching our limit of 20000. Why the difference in numbers? Is it because I didn't index the [Created] column?
View Filters do exactly what they are called - filter the total list items and only return those filtered items to the View.
So by setting a view filter, you are not reducing the total amount of list items, you are only specifying the criteria for which list items actually get sent to the View in the browser.
My guess is that the warning will still show because SharePoint is assuming that you may be using an unfiltered (All Items) view.