1) Go to your Test Plan view (might want to put it in the Test Grid view)
2) Clear out any existibg filters
3) Set a new filter:
3a) open the Filter window
3b) Click the Advanced button (you should see a Cross Filter by section at the bottom)
3c) Click the ... to the right of Test Set
3d) Ensure "Filter tests by the test set filter..." option buton is selected
3e) In the Test Set filter field, enter "=*"
3f) Click OK on the Test Set filter dialog
3g) Click OK on the main filter dialog
That should produce a filter to only show you test plans that are existing in a Test Set.
That seems to make all the test plans disappear from the test plan view. However, I did come across the "tests not in any test set" filter radio button which almost gives me what I wanted (it shows only the tests that have not been added to a test set).