No, I wouldn't say a PSU filter is necessary. If popular cases don't have it, and it wouldn't really cost a lot to implement, wouldn't you think it's not necessary?
I'd just take out the PSU every so often and just clean up the fan and back grill.
The case I have - Raven RV01 - has a dust filter for the PSU, it traps a LOT of dust, but I don't know if it actually helps the PSU yet lol.
A dust filter does two things. If captures some dust and prevents it from flowing through. It also substantially reduces the flow of air through it (compare to no filter). And as time goes on, the more dust it accumulates, the more it slows down the air flow.
I ALWAYS want dust filters on INTAKES of air. But the fan on the back of a PSU is blowing OUT of the case, so a filter there could only prevent dust from inside from contaminating your room - not a big priority, and NOT worth restricting the air flow out of the PSU. Now, a fan on the INLET of the PSU (as air flows from inside the computer case through the PSU) might make some sense, BUT then you have to remember to go inside and clean it. Otherwise your PSU will slowly start to heat up as the filter gets clogged. I would not do that.