It it not a necessary step.
(Neither is "secondary", usually.)
[EDIT: I missed a potential misconception you have about transfering the yeast when kegging:] Usually, you will attempt to minimize how much yeast you transfer into the kegs, as instead of using priming sugar and yeast to carbonate, you can force-carbonate by applying direct and measured CO₂ pressure to the keg to achieve exactly the level of carbonation appropriate for the beer.
The minimal yeast you do accidentally transfer, especially in a kegerator, will continue to flocculate and will collect at the bottom of the keg. The first few pulls from the keg will be cloudy, but that will diminish over time.
If you do introduce filtration, it really depends on on how "finished" the beer is before you rack into the keg. Yeast does help in the conditioning process, and can clean up some compounds and off-flavors. That being said, if you had a solid primary at the proper temperature and some reasonable time later (say a 2-week primary), you're not going to gain a whole lot by retaining the yeast.
There are a couple of styles that traditionally are pretty cloudy (not from yeast, but other suspended particulates) which filtering would also interact with.
Personally, I think filtering should be the exception, not the rule. The vast majority of styles can be made and kegged perfectly well without filtering.
