>...and how'bout for SET FILTER...?

SET FILTER uses the same basic logical constructions as LOCATE...CONTINUE, so the same situation applies for speeding up SET FILTER as applies to speeding up LOCATE. It Rushmore-optimizes if possible, builds a bitmap, and then steps through the bitmap if there's an index it can use for optimization, otherwise it's evaluated record by record. I avoid SET FILTER as much as possible because of poor performance in grids.