For a long time I was troubled by exactly the same issue. I was thinking of filters from my analog experience, where filters were optional subtractive (usually) manipulations of a signal and later equipment has no way of telling whether a filter has been applied or not.
But inside a modern DAC the filters are used when upsampling an input signal to a higher sampling rate before being sent to the modulator. The DAC can tell what the sampling rate of the incoming signal is, and if it doesn’t need to upsample the signal then that stage is just omitted. So the idea behind HQPlayer is to feed the DAC the highest sampling rate it can take and bypass the internal upsampling filters.
Jussi gave an excellent comparison between HQPlayer and typical DAC here.