Where are filtered-index dependencies listed?
I think this information is stored in sys.sql_expression_dependencies. See the table in MSDN, sys.sql_expression_dependencies:

THIS TOPIC APPLIES TO:
yes: SQL Server (starting with 2008)
no: Azure SQL Database
yes: Azure SQL Data Warehouse
yes: Parallel Data Warehouse
Remarks
The following table lists the types of entities for which dependency information is created and maintained. Dependency information is not created or maintained for rules, defaults, temporary tables, temporary stored procedures, or system objects.

Entity type          Referencing entity    Referenced entity  
Table                Yes*                  Yes  
View                 Yes                   Yes  
Filtered index       Yes**                 No  
Filtered statistics  Yes**                 No  
...


** Each column used in the filter predicate is tracked as a referencing entity.

Also note that filtered indexes were added as a feature in version 2008 and this system view does not exist in 2005 (thnx to @Michael Eriksson for noting this).