The less stuff in the light path, the better.
Put a filter there if you need it, but if you use e.g. under the lens filters, I wouldn't bother.
If you manage to get into trouble with negative popping due to it heating up (I don't see how that's possible with this enlarger, but for sake of the argument), you could consider putting a piece of plain (very clean) glass in there by means of a heat shield.