Jess,
The answer is simple, filtered indexes are not used by Rushmore, never, under no circumstances, not ever, alwasy not used, period.
If you have an index on City with a filter of FOR State = "CA" and you locate for City = "Los Angles" the LOCATE will NOT be optimized by Rushmore because of the filtered index. To get optimization you would need to ahve another non-filtered index on City.
Also indexes with NOT in the key expression are not used by Rushmore.
I have a more mundane question, when would any user want to deal with 25,000 records in a grid? Most of my users are interested in one record at a time.