If you have removed a song from a set list, BandHelper won't know it was performed. However, this filter doesn't look at undated set lists, so if you're trying to show songs that aren't in any set lists including undated set lists, that will show songs you don't want to see.
I think you might be able to use the "Song included in" filter with no set list selected, but it looks like that's broken at the moment, so I'll have to fix that and then see if that option is possible.