Typically filters are not fine enough to filter out chill haze. I have a 1 micron absolute and chill haze will get through that.
If you have a filter capable of filtering out chill haze you'll most likely be left with beer colored water and it will be so fine you'll strip out just about everything.
Just use polyclar if you have chill haze problems.
As for not using fining agents if filtering - if you want to ease the load on the cartridge, by all means use some it will make filtering much easier and the cartridge will last longer.