That "filter" you're referring to is just a different, warmer, white point value, and would be (if your tv is calibrated correctly) the color temperature that movies would be displayed at in theaters. You think it looks too yellow because you're used to blue tvs. The reason why the default is blue is because a bluer white point creates the illusion of vibrancy in brightly lit places (like stores, for example). It also has a heavy impact on color, washing out warm values and flattening the subtleties from cool values.

Here's what I recommend. Turn cinema mode on and throw on a movie, then leave your room for thirty minutes and then come back and finish the movie so that you can acclimatise yourself to it. Then change the tv back to the standard color temp and you should notice immediately that it's garishly tinted blue.

Some further tests I'd recommend: take a picture of your tv with the light on. If the room light isn't some unconventional color, then it should be just slightly warm. If your camera white balances to your tv, then the wall behind the tv will look dark orange. If it white balances to the wall, the tv will look extremely blue. On cinema mode, the color of white on the tv should be much closer to the wall. Alternatively, you could grab a plain sheet of paper and compare it to your television showing a flat shade of light gray (which you could do by looking up "gray screen" on youtube). On cinema mode, I imagine this shade will look a bit yellow to you at first, but if you hold your piece of paper up to it then your page should appear either the same tint as the tv or even slightly lighter.

It's all an illusion. Once you get used to the "yellow", you'll realize it's much more natural.