Which filter did you purchase? Do you have its specs and schematics (and values)?
AFAIK, theoretically at the hot side 220V mains and a big inductance with no clamping you could potentially have a spike while powering the transformer that can go over the limits of the dso (~300Vrms), so if the probe is inadvertently at 1X you could easily fry the input channel. Even with the probe at 10X if the voltage spike arcs inside the voltage divider of the probe it could reach the DSO input.
At the cold side you should be safe, but I learnt at my expenses that when dealing with 220V mains powered circuits, it's better to consider them always as live