Tapped my first 5 micron filtered Helles the other day, it was 3 weeks in the keg. It tastes great, smooth malty and clean. Pretty similar in taste to the same recipe that I tapped after six weeks except there was still a slight chill haze.
The first pour had no yeast sludge or floaties and when you brew small 2.5 gal batches like me it can be annoying having dirty lager for the first few pints.
Filtering doesn't seem to be that big of a deal to me, I just use gravity like I always did before but install a water cartridge filter in line to the keg. I guess the downside is one more thing to clean and sanitize as well as a little more cost for filters.