The filter stops cholesterols which are abundant in coffee.
Though brewed coffee does not contain actual cholesterol, it does have two natural oils that contain chemical compounds -- cafestol and kahweol -- which can raise cholesterol levels.
https://www.webmd.com/cholesterol-management/coffee-choleste...
So yes, filtering probably makes a difference, but not because it's taking out "abundant" cholesterols.
Fun fact: not all cholesterol is bad; it’s only the LDL, while HDL is thought to be good for the heart.
LDL concentration isn’t meaningful at an individual level. LDL particle counts however are. Lots of small LDL particles are way more atherogenic than a few large particles, given a constant density.