Yes, there should be a filter in there. It looks like a thick cardboard ring - somewhat like the cardboard roll that duct-tape comes on. There should also be a round plate and spring above it to hold it on the bottom of the reservoir when you tighten the cover & wingnut. But, with all the other problems you may have reviving this car, I wouldn't lose too much sleep over the PS filter right now. Just make sure the fluid isn't too low when you do get it started.

Happy Motoring, Mark

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