While it's usually easy to answer questions about 'statutory rights' (because they're laid down in law), it's far harder to give definitive answers about warranties because it really comes down to "read the small print". (i.e. it's entirely up to to the issuer of the warranty to determine what it covers and any exclusions which might apply).
However it's hard to see how a warranty provider could get out of their obligations if there's no clear link between the fitting of the filter and a problem which later arises with the car.
Further, although the K&N website is very careful not to make any unproven claims about improved fuel economy, the manufacturers seem perfectly happy to make a categoric statement that fitting their product "Will NOT Void Vehicle Warranty":
http://www.knfilters.co.uk/filtercharger.aspx