you can filter keg to keg with carbonated beer, just connect the two gas in posts with a bit of line and gravity filter.
There is a how with pics around here somewhere, if I'm not completely mistaken it was Ross who posted it light years ago.
This (closed system pressurised transfernthrough filter) works fine - it will go smoother if you also put thenpressure on the whole system up 5 or so Psi above where the beer had been carbonating and get it all (including the filter housing and filter) as cold as you can.
Beer down to 0 or 1 degree, filter and housing into the freezer for a while before you start, pressure up a chunk. That'll limit fobbing and things should go pretty smoothly.
Why should you filter? cause you want to! You'll get pretty damn clear beer by simply exercising patience, but if you want to filter, you can.