It IS probably mounted on the cold air return. This is a sheetmetal plenum (usually) that is attached directly to the side of the furnace, so it appears that it is part of the "furnace". If you follow the plenum down from the humidistat, I bet you will find your filter. The filter is the last thing before the air goes from the cold air return into the furnace. You probably don't want to have the humidistat on a part of the furnace that has warm (hot) air in it. When you feel the furnace directly beside where the humidistat is mounted, while the furnace is running, it should not be hot. The aprilaire's usually have an exterior temperature sensor too, to adjust the relative humidity in relation to the exterior temp. This is done to automatically reduce the humidity a little during very cold snaps to prevent condensation from forming on your very cold windows during these periods. You might want to verify that you HAVE an exterior sensor, just follow all the wires from the unit and see if one goes outside to a small sensor. You are probably fine.