There are several different types of filters which may block frequencies lower, higher, or right at the cutoff frequency: One of the main controls on a filter is “cutoff frequency”, which sets the point where the filter starts blocking frequencies. A filter wouldn’t do much to alter the sound of a sine wave (since it contains no harmonics), but for harmonic-rich waves like square, triangle and sawtooth, it makes quite a bit of difference.
The filter selectively removes certain harmonics, altering the spectral content of the waveform. That’s why it was important to understand harmonics before we got here. Why would removing different frequencies alter the sound? After all, the waveform coming from the oscillator is just a single frequency, right? The filter would either just let the sound through or it wouldn’t.