Having read this answer, I tried to do the following to avoid SettingWithCopyWarning. 
So I did below. Yet it still generates the warning below. What have I done wrong ?
df_filtered.loc[:,'MY_DT'] = pd.to_datetime(df_filtered['MY_DT'])
SettingWithCopyWarning: 
A value is trying to be set on a copy of a slice from a DataFrame.
Try using .loc[row_indexer,col_indexer] = value instead
My column was originally a string
df_filtered['MY_DT']
Out[3]: 
0       4/24/2020
1       4/24/2020
2       4/24/2020
3       4/24/2020
10      4/24/2020
          ...    
1937    4/30/2020
1938    4/30/2020
1939    4/30/2020
1940    4/30/2020
1941    4/30/2020
Name: MY_DT, Length: 1896, dtype: object
 
    