No need to filter. Some do, some don't, and in the end it's just a matter of preference. Even if you don't filter, if you let the beer sit long enough in primary and/or secondary all of the junk will fall out of suspension and you will get a clear beer. Obviously, if you strain most of it from the beginning that's even less material to drop out, thus leaving you equally clear beer, but it sometimes occurs faster. Since most homebrewers severely lack in the patience department, this can be a bonus.
Not sure about the whole adding more flavor part, but I'm sure there are believers out there.
Personally, I dump mine from the boil kettle through a big plastic strainer that fits perfectly over the mouth of a bucket. I do it more for aeration than anything, but the holes do stop some of the largest particles from going into the fermenter, which ends up being mostly hops.