The problem is that the upload is a sequential stream -- all files must be processed. There is no way to skip files. So, the UploadFileFilter's purpose is to allow fast rejectection of uploads with invalid files before they even complete. If you want to allow some files and deny some files, let them all upload and then run code on the UploadedFile collection to determine which files to process. This will be added as a SlickUpload feature in the upcoming v4, but isn't currently in place.

Another thing you can do to reduce the impact of this is validation and extension filtering in javascript, by adding code to the UploadHandler.aspx page. Again, this is a planned feature for SlickUpload v4.