That's good. If it only had specified "shipped by" Amazon, that could have been one provided by a third party vendor. Bearcat Warehouse (using the name "Police Scanner Outlet") and Zip Scanners also sell on Amazon, with amazon providing the shipping.
The filter being referred to is not a physical filter that you install. Look at the Wiki page link RobDLG provided
above. That explains filters and their settings for the SDS100 & SDS200.
The filter is a setting made in your Favorites list, For a trunked system, it's under the Site Options tab in Sentinel and on the scanner.
View attachment 203610
In your Profile in Sentinel, you can set a filter to be used on all your systems, That's why the screenshot shows as "Global", because for that site, I'm using a default filter setting. However, instead of choosing Global, I can set a different filter for one or more specific sites.
The "Global" setting, if used, is set in the Profile.
View attachment 203611
I'd still suggest, as Whiskey3 posted
above, that you post your file & let one of us take a look, just in case something got overlooked. That can happen to any of us (at least the ones that aren't too shy to admit it), and sometimes a second, or third, set of eyes spot something that is out of place.
It's certainly not impossible that you got a defective unit. There haven't been a lot of "bad units" out of the box, but that's not impossible with anything electronic or mechanical.