>cFilter=MyFunc()
>SET FILTER TO &cFilter

I think you were trying to say:

cFilter="MyFunc()"
SET FILTER TO &cFilter

That won't work. Same error: "Invalid subcript reference".
I think FP 2.6 just don't allow UDF in SET FILTER -- a
limitation that suprised me.

Without breaking up myfunc(), filtered index is
the possibly the only solution.