Re: SPV (desktop) wallet which lets me verify blocks myself
What you're looking if wallet which support BIP 157[1]. AFAIK the only desktop wallet which support it is Wasabi Wallet which is controversial mainly due to surveillance on it's CoinJoin feature.
Thanks! I've read through the BIP and it seems to be indeed what I'm looking for (so I put the BIP in the thread title as maybe it attracts someone who knows lesser known implementations). As Wasabi seems to be open source, maybe the relevant part can be "ported" into completely open/decentralized solutions like Electrum ...That's possible, but i never seen anyone attempt to fork Wasabi wallet or port specific feature on Wasabi wallet.
@pooya87: Thank you; yes I've only recently looked in that file and I think I understand the way net_processing.cpp works approximately even not being fluent in C++. I still hope to not have to code that thing myself, but it seems I have to (or at least parts), so its possible I've to implement your idea 
Don't forget to check getblockfilter RPC command.