>When you see some list, for example, your replies and try to filter it, are all the filters mutually exclusive? Say, I'd like to filter for the particular forum and the particular user, seems like I can not do it.

A filter at the column level is the only column supported. So, at that level, it is only possible to filter on one particular column. When you access a list that has a global filter at the top, that one can be combined with one filtered column however.