What is this mysterious filter and purpose?
My guess is that you have a high efficiency furnace and they will have a way to get combustion air separately from the regular air stream. The image below depicts this as "combustion air" toward the top.


In more modern systems the source of that combustion air is a 2nd pipe going outside, so as to not create negative pressure in the living space that ultimately pulls unconditioned air in through cracks and leaks in the walls, doors and windows. Yours may be an earlier version from before they figured that out, so it is taking in the combustion air from the intake grill, but using a filter to keep from introducing dust to the combustion chamber and creating soot. It also means you can change that filter without going outside, so maybe that's deliberate if you live in a cold area.