It's not what you see but what you don't see. Without filters there is a chance you inject yourself with some virulent pathogen that could cause an abscess or worse. Getting away with it and not noticing anything wrong does not prove anything but it just demonstrates that you don't get an infection 100% of the time without a filter but some of the time.
It is up to you if you can be bothered to protect yourself just to be sure. Personally the idea alone freaks me out, I am okay taking certain risks with drugs but not regarding this.
I agree with most of the things you say about IM being superior by the way. And it also felt surprisingly less addictive to me at first, that is probably because repeated mechanical habits like using your hand to puff on a cig or joint, or snorting something become wired together with the reward circuits in your brain. So that even the action alone is connected to euphoria, craving and compulsive behavior.
If you are new to IM'ing, you have not 'learned' to connect that yet... but trust me, injecting something is just another thing that can become compulsive. In the back of my mind I have even played with the thought of consciously injecting a saline solution to that effect, basically just for the relief of that hard wired craving. Which is a laughable idea, but in this light it makes total sense.
Fortunately I got my habits under control now.
Also, the first while I didn't really cycle injection sites and primarily used my thighs because the are large, easy to do and conveniently placed. Plus I actually found it hard to believe that you can inject into your shoulders without jamming the needle right into the bone.
A little later I tried my butt and shoulders and I don't mind any of them. It can be tricky to do the shoulder because you have only one arm to do everything (including aspirating test etc) which is a very awkward position for your arm... but it is not really that hard to master.
To make it so that your arms don't ache, cycle injection sites and massage the muscle well after you injected - and repeat that a few times over the course of an hour or more. Helps a lot.
I got one weird thing though: the last time I injected MXE and stuff my syringes seemed to malfunction: if I tried to aspirate after inserting the needle it somehow got air coming in between where the needle is mounted on the syringe. I have Luer-slip, not Luer-lock. Not sure if that is the reason... but it was really annoying and it happened a number of times consistently...