What do you mean with web filter? This: https://docs.opnsense.org/manual/how-tos/proxywebfilter.htmlJust open the tab 'Remote Access Control Lists' like described.
Like the title of the videos say 'Web Filter Plugin', you need to install this plugin. I never saw this menu entry in Core installation. Maybe you should watch part 1/2 of web filter plugin and see where to get and how to install it.Edit:I just googled 'web filter plugin opnsense' and hard to believe, but the first hit was https://github.com/cloudfence/opnsense-webfilter-community-plugin. And I don't think it is a co-accident that the videos was from cloudfence and the plugin either