Filtered indices: Why include the filtered-on field?
This has been previously raised on Connect and Closed as "Won't Fix".


  We'll close this because it seems a narrow scenario and we don't see
  doing anything about it in the forseeable future.


That's quite disappointing IMO. Perhaps upvote and comment that item. 

Edit: BOL has an example of using WHERE EndDate IS NOT NULL in a filtered index and that does not do a key lookup but replacing IS NOT NULL with IS NULL does lead to a lookup so it appears as though sometimes it is avoided...