The filter warning light is to alert you that there has been water detected in the sedimenter part of the filter assembly, & in some vehicles it can also warn of a filter that’s becoming blocked, e.g. Toyota has this restriction warning feature.
Whatever the cause, a filter warning light should not be ignored. You should stop & investigate at the first possible opportunity. The first thing to do is drain off some fuel from the filter drain cock. This is positioned at the base of the fuel filter assembly & because water is more dense than diesel, it will be the first liquid to come out. It’s a good idea to catch what you drain into a receptacle so you can see if water is present, if there is, the warning light should go out once you’ve re-started. This instance of water in the fuel is where a Diesel Care Secondary Filter Kit really pays for itself. i.e. if any water has managed to get past the factory filter it will have been caught in the secondary filter.
If any water has been evident its best to replace the filters. Filters are cheap, water damage is expensive.