No, we don need no stinkin filter !
That fan PULLS air into the box from the passenger foot well, serving two purposes :
1. keep air flowing around the Infinity amp and the TCM
2. pull cooler air into the RCM/PTCM/BCM box to keep it cooler than the underhood temperature.
Since the air is coming from inside the passenger compartment, no filter is needed.

BTW, did you know that Max is jumping ship after the first of the year ?
He's selling the Crossfire and getting a VW GTI.