They just use a standard thermostat, which just tracks how long the fan has run, and shows this message when there are enough hours on the fan. You can reset by holding down the up and down buttons IIRC.
As for the filter itself - you may not even HAVE a filter - mine didn't. I just pulled the intake vent and cut some filter media to fit.
Yes It dawned on me that the monitor was from RobertShaw not Danhard. So I looked up in the manual and it learned displays check filter after 400 hours. I did exactly what you said and the message had disappeared. I had spoken to Danhard sometime ago to identify what maintenance if any I should do. And they never mentioned a filter. It’s nice when things work out to be a simple solution.