For instance: if I want to see only added links, or only deleted labels.. Is this possible to make such a filter? I'm talking about watchlist mainly.
Topic on Talk:Edit Review Improvements/New filters for edit review
Sadly, it is not plausible to make such a filter without a huge amount of work. I looked into this for Commons, but given the way that the changes are stored by Wikibase, it's not possible to extend the recent changes filtering system on the database side to evaluate these diffs and categorise them, sorry.
I filed the wish as https://phabricator.wikimedia.org/T216265 in case the experts in the Wikidata team can refute my concerns and say this happens to be easy.
I second that request, also I am more interested in the opposite: changes in the statements. Currently, my watchlist is flooded by new labels for languages I don't care, but I am never sure whether maybe also some statements changed. Filtering just for the changes of statements would make my watchlist usabel again.