You actually have some limitations before that as Not() as in !IsBlank is not Delegable, so you are limited to 2,000 records. Apart from the indexing issue, you will also have other limitations on multi-select columns as they are a Table requiring the in Filter, which is also not Delegable.
I can only suggest that as you are over 5,000 items to keep any columns you want to use for Filters to Single Line of Text or Numeric.
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