Have you ever demolished a door? I bet you did. What Revit does, is to automatically create an infill which replaces the opening in the wall. This is great, also considering that the infill will properly show as "New" and the rest of the wall "Existing", and setting up construction plans is a breeze.
Now, if you have more than two phases, and you are trying to show those infills as new, in a phase in the future of when you demo'd the element, then Revit will "see" both the (E) wall and the automatic infill as "Existing". Then, no matter what phase filter you apply, there will be no way to show the infill different from the wall. In other words, they will blend together.
This is an example when you would really use phases for the in-fills, which also makes practical sense because if a contractor removes an existing door, it does not mean that he will immediately frame and fill the opening. The in-fill may actually be built any other phase in the future...
The only work around I found is the old trick of the overlapping plan views. You need to create another plan view, where everything is off except your in-fills. Then set the phase filter to display them black, and overlap this plan on your new floor plan view. At least, after the initial setup, everything will be fully BIM intelligent.