I've only seen one RV furnace that had a filter and that was because it used an air return duct that was in the floor. Most RV furnaces just suck their circulation directly and are either under a piece of furniture or inside a cabinet with a grill on the side. The grill may have a cloth mesh covering for cosmetic purposes, but it's not a filter per se (might get dirty, though).
Most RVs don't run the furnace often enough or long enough to make a dust filter a necessity, but it certainly doesn't hurt to have one. If you want to add a filter, feel free. Just make sure the size and filtering material enables adequate air flow (more is better).