In extension to what TPC said, I guess the concept is they are easier to disassemble and clean than your waterblock. However if you have any particles bigger than the dye passing through then you have bigger concerns and if the filter catches the dye then your in trouble too.
Either minimize potential contaminants by using clear coolant and cleaning everything in which case a filter would have minimal benefit or be fearless and run Aurora with no preparation and not use a filter because they are too ugly and aesthetics are everything.