I think an opt-in might be a little cleaner? Like "User filtered" and a grey box with a "show user" and "show comment" button. It could be on the entire collapsed thread or just on the particular comment; I don't think one is clearly better than the other, but implementing both and giving a switch seems unlikely.
Well I mean as in, opt-in to see who it is and what they say, but otherwise show everything else, instead of giving a warning. That way no matter where you go on the site the people that you've filtered will be "boxed out" and you have to opt-in to seeing their comments or who they are (maybe one action to show both is sufficient.) So you get to see content from everyone else, but they're hidden. The alternative would be boxing out the entire thread that they're comments are relevant to, (their comment is hidden, and so are any subsequent comments, beginning from theirs) so that you don't see the responses either, unless you opt in. And that way you would get to see all of the content from everyone else where that person hadn't left a "footprint." (I should note that I don't filter anyone, and I only have the #spam tag filtered, so I don't know what filtering looks like when applied to users.)