Bob,
Garrett told you the what about it, here's the why. Filtering the original table is considerably faster than copying all the records to a new table, so if VFP can filter the original table to get the result it does.
For the most part this shouldn't need to be considered except in certain spicific situations. The cursor produced by this process is in its own work area with its own record pointer so you should be able to work with it without beiung concerned as to whether it is a filtered look at the source table or it is a completely independent cursor with its own underlying table.