Hi Michal,
It seems that MSGFN cannot be inserted to the standard filter. So you can implement BAdI BDCP_BEFORE_WRITE to remove change pointers which you don't want to have.
The field CDCHGID in the internal table CHANGE_POINTERS can have following values:
U Update
I Insert
E Delete (Single Field Documentation)
D Delete
J Insert (Single Field Documentation)
Based on your required action you can remove change pointers which you don't want to send. This badi is called during the change pointer creation.