It's fairly common practice for equipment manufacturers like DJI to recommend against the use of third-party products with their gear, as they are unable to account for the way another company's products will behave in conjunction with their own. Warranties are usually only in place to guard against things like manufacturing defects, which damage from a third-party product would not fall under. In practice, though, it is unlikely to see damage resulting from something like a filter. Filters do not affect the drone's signal strength, software, or in-flight maneuverability, and issues with a drone are usually related to one or more of those things.
That said, it's definitely good to do some research and read up on reviews before buying anything. The last thing you want when flying is to be distracted by outside concerns, about your gear or otherwise.
- Oliver from PolarPro