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That pump had an internal water separator. When you bleed off the pressure to remove the gun from the fill hose, you get a tiny bit of moisture out of the bottom tube.

You can always add another filter if you want, but there is a point of diminishing returns and extra work for the pump to fill that filter volume to the workinng pressure.

If you live in a deep humidity area, it may help. I live in the desert, so I don't bother with that