[swgillespie]

When you throw an exception on the CLR, it will 1) walk the stack looking for candidate catch blocks, and 2) if it finds one, it will long jump to that catch block, destroying all stack frames between the frame that threw the exception and the frame for the function that contains the catch block.

Exception filters are a CLR feature that modify this process a little. Now, when an exception is thrown, it still walks the stack looking for candidate catch blocks, but whenever it identifies a candidate, it will call the exception filter function (a function from exn -> bool, where exn is the exception being caught by the Catch block). If the function returns false, the CLR will disregard this candidate catch block and continue searching. C# 6.0 merely added some syntax that exposed this functionality of the CLR, the language itself isn't doing this.