You have to use textured sprites for circles anyway. DirectX doesn't provide any better way to draw circles other than putting one on a texture and drawing that, which is exactly what Sprite does. If you draw a fairly big, white circle (I wouldn't go bigger than 512x512 to save VRAM), you can colour it with the filter, and set the width/height to change its size. It'll still look nice.
You can use Box for a rectangle/square too!