It doesn't really filter anything. I mean you still get notifications, the screen just doesn't come up and a noise isn't made. You can only choose Favorites or whatever for phone calls. There's no menu for texts.
He's talking about the do not disturb feature. When it's turned on, you can choose to receive calls from no one, everyone, or people on your favorites list.
As far as filtering messages from specific contacts, no you can't. Do Not Disturb will block all notifications and allow certain callers to get through based on your choices.