I don't think it's entirely necessary, but it certainly can't hurt. The oxygenation kit I bought secondhand has a filter, but if I were buying one new I would probably consider going without. Some of the kits sold from the major online retailers seem to skip the filter, so it can't be too bad.
It seems that HEPA filters usually have a 0.3 micron or so pore size - considering that the airstones you use with oxygen are 0.5 micron, compared to 2 micron for air, I think they probably do a moderately good job of keeping contaminants out of your beer anyway. And that's in addition to the fact that not many (if any) nasties could probably live in a pure-oxygen environment like the oxygen hose anyway.