DSL filters are used to prevent voice communications from affecting the DSL (data) signal and vice versa. Typical home phone wiring is a combination of tree (each jack connecting separately back to the network interface (that's phone company terminology for the "main connection", NOT necessarily anything to do with your computer network per se) and daisy-chain (cable from network interface to one jack and then another cable from that jack to the next jack). Bottom line: DSL handles open jacks (no devices connected) just fine and only needs filters on the jacks connected to telephones, answering machines, fax machines, etc. Never put a filter on the DSL modem itself - the DSL modem includes a different type of filter internally.
I typically wire up a filter at the network interface, after splitting to a separate cable for the DSL modem, but most people don't do that. End result: put filters where you need them and not where you don't. If you ever connect a phone again at that location then you can either put the DSL wall-plate/jack back in or use a regular inline DSL filter. If you were to ever connect a phone without (re)installing a filter, there would be no damage, but your DSL connection would be degraded (slower or not work at all) until you install a filter or disconnect the phone.