Filter? Yes. Is it giving me better results? I have no idea. The filter does load up with debris, so I'm guessing that it does not hurt anything.
I repurposed the coolant tank pump from my little band saw (cut off saw - the drain arrangement is poorly designed and the coolant goes all over the place). The tank has a single baffle, so I'm guessing most of the debris is on the return side of the tank, but likely some makes its' way over to the pump side. I plumbed in a cannister type housing that uses the string wound (or styrofoam) elements - common in home water systems. Replacement filters are available at the regular hardware stores and ag stores (ratings from about 5 micron to 50 micron). When the flow is dropping off, then I replace the element (filter lasts about 6 months, but I don't run the grinder steady).