Let's compare two popular models of shortwave radios the American Sangean ATS 818ACS and the ATS 909.
The Sangean ATS 818ACS:

The Sangean ATS 909

Simply the 818ACS has no filter and the 909 does.
A filter is useful to remove noise from close by stations e.g. 5khz away with most standard filters. (Wide/Narrow filter) So if a station you want to listen to is on 15.500 and a Chinese station is coming in strong on 15.505 you may get "bleed" from the other station with a high pitched squeal and slight audio from the Chinese station. You can switch your filter on and find no more high pitched squeal! But as a negative you will find the intelligibility will also diminish. Eeek! This is worse if using a filter on SSB. Instead of hearing the speech's sibilance, the "ss" and "t" sounds from the English language, it will be muffled. In fact the filter does seem to muffle the audio in general. I like to imagine a real filter, such as filter paper used in the lab in science class. When you pour liquid onto it not all the water will come through at once, instead a smaller amount will trickle through - this is a good example how that works with audio on a radio filter. You can get other filters too, on say an Icom R75 which is a top of the range shortwave radio, it has various settings and filters. But as narrower the filter the more muffled the audio is.
Is there another option to stop the audio from getting muffled? Yes! One of the most simplest tricks on a radio with no filters is to simply tune 1 to 2 khz off the frequency. So the station on 15.500 will still be heard on 15.499 or 15.498 and it will help to remove the high pitched squeal. In fact I have observed that 99% of the time this simple trick works, and if it doesn't help, a radio with a filter may too still hear the squeal. It might be slightly less but it still won't change a lot, even with a filter that's 2.5k (stronger then standard) it will make the radio station even more muffled making it a pain to listen to.
So to conclude: Filters are good but cause muffled audio.
Have a radio with a filter can be good, but often it's often either Wide or Narrow and wide is too wide hearing too much "bleeding" and you basically have to keep it on the narrow setting which muffled the audio and remove sibilance. A radio with no filter is cheaper, and by simply tuning the frequency off by 1 to 2khz it will most likely fix the issue when on AM. A filter on SSB will reduce the intelligibility more so then an AM station.
So is it better to have one or not? Yes and No.

(Originally posted on Scanning Tasmania forum. http://www.scanningtasmania.org/cgi-bin ... 391838/0#0)