Mine came with one. It really doesn't matter. A lot of folks on here who work with the red Oxygen bottles in "real life" say that the O2 in the bottle is clean and so are the interior of the bottles, so there's nothing to worry about. And also that's way not every version has it.
Mine came with it, but what I do is just use that as the quick disconnect point between the regulator and my stone mounted on a wand. If it costs extra I wouldn't bother with it, since, like I said, it's pretty optional. And if you are using one of those red non-refillable bottles normally used for welding, then that stuff is pretty pure or free of anything to worry about.
With an aquarium pump, however, I think I would, since you are NOT using a sealed container of oxygen, like a bottle, but really just pumping room air through the aquarium pump, so you would run the risk of pulling in particulate matter.
With an open system, like that then yes....with a closed system like a bottle, then no.
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