I've heard that too. This is because compressor failure can sometimes send particle debris throughout the system. Even after flushing to remove the debris (I hope you're including a flush in your repair schedule), there may still be some debris in the system which can kill the new compressor. One exception to this is if you're replacing the compressor because of shaft seal failure or leak and nothing else is wrong with the compressor. The filter would ideally be installed just before the compressor on the low (suction) side.

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95 E320 Cabriolet, 169K