For a complex reflection group W with reflection representation h, we define and study a natural filtration by Serre subcategories of the category O c (W, h) of representations of the rational Cherednik algebra H c (W, h). This filtration refines the filtration by supports and is analogous to the Harish-Chandra series appearing in the representation theory of finite groups of Lie type. Using the monodromy of the Bezrukavnikov-Etingof parabolic restriction functors, we show that the subquotients of this filtration are equivalent to categories of finite-dimensional representations over generalized Hecke algebras. When W is a finite Coxeter group, we give a method for producing explicit presentations of these generalized Hecke algebras in terms of finite-type Iwahori-Hecke algebras. This yields a method for counting the number of irreducible objects in O c (W, h) of given support. We apply these techniques to count the number of irreducible representations in O c (W, h) of given support for all exceptional Coxeter groups W and all parameters c, including the unequal parameter case. This completes the classification of the finite-dimensional irreducible representations of O c (W, h) for exceptional Coxeter groups W in many new cases.