Just the shield.
To me, you should not do the filter, for the biggest reason being it is a pain to get to. Why would I want to remove my windshield wipers once a year to change out a filter? Plus the fasteners will eventually break or not hold as tightly being removed many times.
Adding a filter here is not like where typical cabin filter are anyway, it just does not make sense to me.
Other cars of mine have filter and the design is not like this at all.