Context: https://en.wikipedia.org/wiki/Self-censorship
Self-censorship is the act of censoring or classifying one’s own discourse, typically out of fear or deference to the perceived preferences, sensibilities, or infallibility of others, and often without overt external pressure.
I’d say the only difference is that when you “have a filter” you may reword the statement before uttering it, but when you self censor you omit the statement altogether.
It certainly doesn’t need to be incriminating. A lot of discourse about self censorship discusses how young people often don’t express their opinions online, because they don’t want to get into some drawn-out discussion which ultimately results in everyone still maintaining the same opinions. It’s a waste of time and not good for your mental health. In that scenario the self-censorship is not about avoiding incriminating yourself, but about not triggering some situation you don’t want to be in.