When you add a filter, that filter will then become available in all of your Event Calendar Widgets. However, you can turn filters off (so they cannot be selected) on a per widget basis if you so please.
To do this, go to the editor of the Widget you wish to change.
Select an event -> click the appearance tab -> click manage filters. You should see a screen that looks like this:
In this Event Calendar, I don't want the Outdoors filter to show in the dropdown. To make this happen, I click Filter Settings and then uncheck 'Filter is visible in this Event Calendar':
My filter dropdown now only includes the Social filter: