They definitely provide filtration. The stock WaterPur filter provides filtration down to a level that's a lot finer than just dirt particles. However, if you only go to familiar campgrounds where you trust the water source you'll likely be fine without the filter. For years we only stayed at Provincial Parks and we trust their water because they are government run parks. We now stay at some private parks so I'm less trusting if their water source is a private well.
Others choose to remove the stock filter setup from inside the trailer and have a filter setup outside so if it breaks it doesn't dump water in the trailer.
If you are interested in an outside filter setup, try this website that a lot of people here buy from.
You can also look into "whole house" filter systems from Home Depot, etc. but do some research before you buy to see what the filters do and to decide what level of filtering you want, if any.
2011 Rockwood Signature Ultra Lite 8293SS, 12K Equal-i-zer
2016 Ford F-250 XLT SuperCrew, 6.2L, 4x4, 6'9" bed, 3.73
2010 Rockwood Roo 23SS (2012 - 2014)
2009 Ford F-150 XLT SuperCrew, 5.4L, 4x4, 5'6" bed (2012 - 2016)