I think you've misunderstood.
You modem/router needs to be run from the DSL socket on a filter, so if you use an extension lead you plug the lead direct into the phone socket and then the filter into the end of the extension and then your modem/router into the DSL socket on the filter.
What they are talking about (and the mistake a lot of people make) is to plug the filter straight into the main phone socket, then run the extension lead from the phone socket on the filter and then plug the modem/router into the end of the extension, this will not work as you are connecting the modem/router to the side of the filter that has filtered out the DSL signal.
DSL will work without a filter at all, but iif your phone rings, or anyone tried to use the phone it will cut your DSL off.