For example, if you have older filters that no longer have any products the page will still render, just with no products. It will not 404 and will not be reported as an error in Google Webmaster Tools. The only way that should happen is if you have deleted the previous filter menu collections - but Power Tools will never do this for you - as such this is more of an issue with Shopify and not so much with Power Tools.
if I change the filter to below-40 it still works, just that there are no products. There was never a below $40 collection on that site.
Even if I remove all the Below $50 items that page will still return a normal page with no products unless I delete the Below $50 collection.
I would not recommend a no-follow on those links anyway even if they were 404'ing. A 404 is acceptable to Google and there is no penalty, other than the link being removed from the index. A no-follow will prevent Google from indexing those pages in the first place and may hurt your page rank. If you still wanted to do it though you can easily modify the Filter Menu code to add them.