First of all, congrats on the new Rockwood!
The water filter is typically not installed by the dealer unless you force them to during the PDI. You would typically install it for the first use of the TT. If it's installed during the PDI, you'd have to remove it and let it dry out rather than having it sit in stagnant water.
I've said this a 100 times on this forum. Folks always tell you to remove the factory filter and you can certainly do that and just use the cheap blue bullet type, but you'll get nothing more than a sediment filter with that. Check out this website
for info on what's available on the market and you can decide if you want just a sediment filter or something more. If you haul your own water you could go without a filter at all but if you're going to use the water at the campground, are you going to trust the water everywhere you go? The blue bullet will do nothing about contaminants or smell or taste. If you just want something less expensive, then decent water filters from the big box stores may fit the canister and provide better filtering than the blue bullets. The old adage that you get what you pay for is applicable here.
Lastly, don't get stressed out about your first experience and absolutely DO NOT go back to the dealer and immediately threaten legal action. Hopefully you're just expressing your frustration and you won't actually go in there like a bull. That's sure fire way of getting minimal, if any, cooperation from the dealer. It's hard enough to find a good dealer. Don't offend them right off the bat! Save that option for an absolute last resort.
Hopefully everything will get worked out to your satisfaction. Be patient. You're not alone in telling this kind of story on a brand new unit. Good luck!
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)