Are you talking about a water seperator "under the hood" such as in EFI models or an "inline" filter that was an add-on?
Merc recommends the (on-board) filter be changed every 100 hours or sooner if you get an alarm (smartcraft monitors the filter if you have a smartcraft equipped model).
Particularly if you are running E-10 fuel any in-line or aftermarket filters would definately benefit from being changed as part of your annual maintenance.
Having to paddle back to shore, or get towed on just one occassion because your motor sucked some water and the minimal cost of a filter or two will seem quite small...
Personally, I see no reason why any gas filters, sparkplugs, motor oil (for 4S models) and gear oil shouldn't be changed before the start of "every" season - prevention is always significantly cheaper than cure....