User blog comment:Jopjopjop/Volume 19 Spoilers/@comment-179.232.68.37-20141213230158/@comment-73.178.133.185-20141216193042

Yes, we won't be seeing "Rias in Wonderland" get animated any time soon.

Anyways, as Jop said, there is no "filler" in DxD. "Filler" refers to anime-only episodes created to bridge the space between seasons (and sometimes in the middle of seasons) in order to create time for more of the story of the original source (i.e. the LNs or manga) to be written, usually due to a lack of sufficient material for another season. However, in the case of DxD, the anime began production with more than enough story ready for multiple seasons, thus there is no need for filler. The closest things to filler are the OVA epsiodes, as they are unimportant anime-only plotlines.

On the other hand, the short stories like the one you mentioned are extra material the author writes, and often expands upon character backgrounds or answers questions that couldn't be developed within the main story. Furthermore, the events are often referenced and may even have some impact on the main plot.