The filter capabilities give the users some more options in how to find data. Sometimes you might want to do some advanced filtering, change the sort in combination and perhaps look at filtering on related data to find the records you need. In the new Dynamics AX the advanced filter is still there not located under the options tab on the forms. This will allow you to also save the query if you have a few different queries you often do and want to keep them for later usage.
Here is a quick look at how to access it.
AX Build 7.0.1265.3015