Yes, as stated above, the filter circuit is built into the power entry module. The purpose of these line filters is two fold: It filters interference from the outside from entering your product, and prevents your product from conducting interference onto the line.
In my experience, they are mostly used to address the latter. That's because there are regulations on conducted emissions that products must meet. If you are just doing a personal DIY project, then you don't really have to worry about that (too much). However, it's still generally good practice to use one, and I usually do.