Note concerning C4:
In the datasheet it says:
"A feedforward capacitor, shown across R2 in Table 9-6, is used when the output voltage is greater than 10 V or when COUT has a very low ESR. This capacitor adds lead compensation to the feedback loop and increases the phase margin for better loop stability. For CFF selection, see the Section 9.2.2.2 section."
"9.2.2.2.4 Feedforward Capacitor (CFF) See Table 9-6. For output voltages greater than approximately 10 V, an additional capacitor is required. The compensation capacitor is typically between 100 pF and 33 nF, and is wired in parallel with the output voltage setting resistor, R2. It provides additional stability for high output voltages, low input or output voltages, or very low ESR output capacitors, such as solid tantalum capacitors. Calculate the value for CFF with Equation 6: (6) This capacitor type can be ceramic, plastic, silver mica, and so forth. Because of the unstable characteristics of ceramic capacitors made with Z5U material, they are not recommended. Table 9-6 contains feedforward capacitor values for various output voltages. In this example, a 560-pF capacitor is required."

So, your output capacitor (I'm guessing you have used a bog-standard electrolytic) isn't LOW ESR, and Vout<10V, so you don't need C4.
Unless you have thoroughly read and understood Hendrik Bode's Network Analysis and Feedback Amplifier Design (1945) AND you think you know better than the manufacturer, then you should do whatever is says in the datasheet about stability/compensation capacitors!

 

Note concerning C4:
In the datasheet it says:
"A feedforward capacitor, shown across R2 in Table 9-6, is used when the output voltage is greater than 10 V or when COUT has a very low ESR. This capacitor adds lead compensation to the feedback loop and increases the phase margin for better loop stability. For CFF selection, see the Section 9.2.2.2 section."
"9.2.2.2.4 Feedforward Capacitor (CFF) See Table 9-6. For output voltages greater than approximately 10 V, an additional capacitor is required. The compensation capacitor is typically between 100 pF and 33 nF, and is wired in parallel with the output voltage setting resistor, R2. It provides additional stability for high output voltages, low input or output voltages, or very low ESR output capacitors, such as solid tantalum capacitors. Calculate the value for CFF with Equation 6: (6) This capacitor type can be ceramic, plastic, silver mica, and so forth. Because of the unstable characteristics of ceramic capacitors made with Z5U material, they are not recommended. Table 9-6 contains feedforward capacitor values for various output voltages. In this example, a 560-pF capacitor is required."

So, your output capacitor (I'm guessing you have used a bog-standard electrolytic) isn't LOW ESR, and Vout<10V, so you don't need C4.
Unless you have thoroughly read and understood Hendrik Bode's Network Analysis and Feedback Amplifier Design (1945) AND you think you know better than the manufacturer, then you should do whatever is says in the datasheet about stability/compensation capacitors!

What happens is C4 is a ceramic capacitor. I should take it off?
The reason I put there C4 is just as a filter.

 

What happens is C4 is a ceramic capacitor. I should take it off?
The reason I put there C4 is just as a filter.

Believe the datasheet, take it off.
Don't go messing about with the phase response of a feedback system. It will only cause trouble.