It is a filter and when we think about what it might do, we can see it is a good thing. CO2 tanks are often hauled on the back of open trucks. This means there is always a chance of debris (think bugs?) being in the outlet of the tank. If we are new and don't take a minute to blow that debris out before we install the reg, The bug winds up in the reg and all the fine little openings are gunked up.
For new folks? Do a quick open/close of the tank valve before you add the reg. This is better done outside and let the folks in the area know before doing it?
But just in case you don't do it right, the filter can catch the junk and at least let it be an easier fix than if it is all inside.