This refers to the water pressure at the inlet side of the filter. It's basically like holding your thumb over the end of a garden hose and building up pressure in the hose. As the filter becomes clogged, the supply side pressure goes up as the pump continues to pump into it and the flow through it is restricted by the clogging. Larger gartridge filters, most sand and DE filters have a gauge (or at least a place for a gauge) installed so that this can be monitored.
Smaller units, like the ones on the Easy-Set pools don't usually have gauges. You have to basically observe the flow at the return and notice when it seems diminished, and listen for the sound of the pump, and/or just pop the cartridge and check it.
As for why your filter isn't clogged yet, that's a good question. I would guess that either 1) you need to brush the pool to get the dead algae circulating towards the filter, or B) the algae particle size is too small to catch in the filter. I guess there is the possibility of 3) the filter isn't properly installed or seated, or is the wrong size, allowing a bypass around it, but that should have been immediately obvious when you pulled it out.
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