It doesn't work because the note is only emitted in very simple cases

failed_filter_mypy_none_returns.py

from sys import stdin
from sys import stdout
from typing import Final
from typing import Iterable

MISSING_RETURN_TYPE: Final = "error: Function is missing a return type annotation  [no-untyped-def]\n"
USE_NONE: Final = 'note: Use "-> None" if function does not return a value\n'


def filter_non_returns(mypy_lines: Iterable[str]) -> Iterable[str]:
    current_location = ""
    is_current_location_missing_non_none_return = False
    swallowed = 0
    for line in mypy_lines:
        try:
            line_location, message = line.split(": ", 1)
        except ValueError:
            if line.startswith("Found"):
                if is_current_location_missing_non_none_return:
                    yield f"{current_location}: {MISSING_RETURN_TYPE}"
                _, error_count, rest = line.split(" ", 3)
                yield f"Found {int(error_count) - swallowed} {rest}"
                current_location = ""
                is_current_location_missing_non_none_return = False
                swallowed = 0
                continue
            yield line
            continue

        is_line_missing_return_message = message == MISSING_RETURN_TYPE

        if line_location != current_location:
            if is_current_location_missing_non_none_return:
                yield f"{current_location}: {MISSING_RETURN_TYPE}"

            current_location = line_location
            is_current_location_missing_non_none_return = is_line_missing_return_message

        if is_line_missing_return_message:
            is_current_location_missing_non_none_return = is_line_missing_return_message
            continue

        if message == USE_NONE:
            is_current_location_missing_non_none_return = False
            swallowed += 2
            continue

        yield line


if __name__ == "__main__":
    try:
        for line in filter_non_returns(stdin):
            stdout.write(line)
    finally:
        stdout.flush()