The following patch implements audio rate filter cutoff modulation. Also try changing the input waveform type. Audio-rate filter cutoff frequency modulation patch. The reason is that the system is time-variant. It is only linear time-invariant systems that do not generate harmonics.
Some purists argue that digital filters sound lifeless and sterile.
While they may be right, there are some things that can be done to improve upon the basic digital filter sound and make them closer to their analog counterparts. One way in which to provide a better approximation to analog filters is to vary the resonance with the cutoff frequency. For example, the Moog classic filters do not have a constant resonance. Their resonance decreases significantly when their cutoff reaches and goes below about 130Hz. The Modular Moog filters do not self-oscillate below that frequency.