In a very simplistic way yes. The point is L-C mains filters don't have anything like nice logarithmic attenuation curves that rise smoothly from a few MHz in the way the water filter analogy - dirty water one side, clean water the other - infers is the case. Hence the analogy is a poor one.

Work in what way? Yes they present impedance mismatch outside their passband and shunt MHz crap to earth ââ'¬â€œ improve sound quality? Another question entirely.

For my money a few turns of a mains cable on a ferrite ring or sleeve is as good a solution as any to the perceived problem of conducted EMI and audio reproduction. Here's an analogy; shunting noise to earth with a mains filter is a little like sweeping the problem under the carpet.