Hello John,
An emaill being processed by the content filters or messages filters will continue down the list of content/message filters until it hits the last filter or a 'final' action filter command. If the email being processed needs to exit (by administrative choice), the filter it hits, should have a final action. This only applies to certain conditions, where the administrator does not want the filter's last action to be overwritten by another filter down the pipeline.
cheers,
-Alvaro