Depends on your situation. If it fits, then no.
If you need a little jumper cable to relieve the strain on the dongle(and USB connection) then yes.
I use 6" USB jumpers (with ferrite chokes) so I can connect multiple dongles to an RPI3.
The female SMA on the dongle to the male connector on the filter, the cable from the antenna would have to connect to the female connector on the filter. Is that correct?
Is there an accepted rule that a Female is an “input” and a Male an “output” (or vice-versa) I believe the FlightAware filter can be used either way round but surely some bits of kit must be used in the right direction?
I don’t believe there’s a rule, but nearly all devices I’ve seen have female connectors on the device and male on the cable. The FA filter isn’t picky as to which way it’s installed, whatever works best for you.