When a View other than 'All' is applied, the user should be given some indication -- eg the toolbar button for 'Customise View' (an eye) should appear depressed or with an on/off light. Or the background of the message list pane should change (as in Free Commander).
This is more of a problem when you prefer or must set up your toolbars to only show buttons without text (so the View menu is hidden). The screenshots show this.
As custom views can be applied to individual folders and persist across sessions, you can easily apply such a view and forget about it. When we return to that folder possibly weeks later, we may be left wondering why messages appear to be missing. It can take hours to figure out that it is actually a Custom View quietly filtering out certain messages.