I have tried my Polar Pro filters and you do need to put them on after the gimbal initializes. That is how I did it, following the instructions but became aware that it is definitely necessary when I came in for a battery change and forgot about the filter being on. It can not initialize with the filter on. I even got an warning [emoji615]️ on screen about gimbal overload or something to that effect. So, you must remove and reapply the filter when powering down. Other than that, the filters fit very well and putting them on and removing them went very well. I haven't shot enough to compare the effects of them but for reducing light they are spot on in doing that correctly.
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