Hey Dani,
"IS ANY" should refer to any email that matches the criteria and was not opened, meaning that if they opened 99 out of 100 emails, this filter would exclude them as long as they opened an email on or after 1/1/12.
I am always extra careful about this as well, I would pick a handful of records at random and check their Activity Log to make sure, but the way you have the filter set up looks good.
You can use the "Min. Number of Times" constraint to further filter your results. Maybe the Lead was only sent one email all year, you may want to keep that person considering the lack of activity. Just something else to consider.