Hi,
If I understand you correctly, hook into FilterRow event of the grid. This gets raised whenever filter conditions are evaluated on a row. Here you can check IsFilteredOut property to either set or unset the row's RowSelectorAppearance.Image to exclamation icon.
Also of use might be row's MeetsCriteria method to check if the row passes or fails a specific column filter or filter condition. This can be useful if you want to check if the row passes filter conditions of a specific column.
Hope this helps,
Sandip