The bottom right of a dialog box is the part users are least likely to look at.
Or a simple symbol could be added to the GUI, e.g. close to the search box, as a reminder that filters are currently active?
It has happened to me more than once that I entered a search term, didn't get any results, and then tried refining it again and again, in vain
…because a non-matching filter from past searches was still turned on.