No, but you might as well. Most of the trans oil will drain out through the OD anyway, as they share oil. I can't see any reason to not remove the trans plug and drain the cupful or so that won't drain through the OD. Those "filters" are really just screens, so the fine dirt is removed mostly by changing the oil and cleaning the sump cover.
Good time to switch to a socket head, magnetic plug for the trans drain, if you haven't already.