While this may not really be a problem with your setup, the danger is that the filter dislodges while driving.

One could ask, "the factory doesn't mandate this, so why bother?" However, I am not going to do so. I had a Saab 99 Turbo ('96, made it myself). When refilling the oil, I would always remove the fuel pump fuse and crank the engine until the pressure came up. Only then would I let it start. That's quite a bit harder to do with a diesel.