Not “at some point” but always. There’s just no converting digital to analog (or vice versa) without filters (er, in a way that would sound good to anyone).
It seems like you’re assuming that the filter(s) in your DAC are superior to any of those in HQP. As others have said, if you like one or more filters built into your DAC better than any of those in HQP, that’s fine, but there’s really no reason to assume they’re empirically better than Miska’s; it’s actually easier to make the case that Miska’s are better, for reasons enumerated above.