You don't need a filter for O2. Oxygen kills germs on contact. You DO need a filter if you are just using an air pump for aeration.
Diffusion stones come in two pore sizes: 0.5 micron and 2 micron. The 0.5 micron generates much smaller bubbles, which helps dissolve more O2 in the wort. But it is more prone to clogging. Don't handle either size stone with bare hands, as oils from your skin can clog the pores. I keep mine wrapped in a baggie when not in use.
BTW, shop around on those O2 systems, as the prices/shipping can vary. Give William's Brewing, Austin and Morebeer a look too.