You focus using your imaging camera, and that focus is affected by the filter. The focus on the guide camera will therefore change when you focus your imaging camera (your focuser is in front of both cameras). If you don't have the guide camera well focused then it will move focus with an offset. This isn't always a problem, and some say guiding is better when slightly out of focus, but if you are not somewhat par-focal then with some filters the focus on your guide camera could be too far to guide properly when focused with your imaging camera.
I agree it is difficult to get the imaging and guide cameras using that grub screw, which is why I use the helical-focuser that ZWO supply as an accessory, it makes getting your guide camera par-focal very easy.
As per my review on the link I gave:

"If you've tried to adjust OAG focusing in the past with an alan key in the dark you will know how annoyingly tedious it can be and the worst thing that can happen is the camera and OAG fitting can just fall off to the ground if you don't support it while adjusting.
With the Helical Focuser getting parfocal is much easier and faster:
1. Use a Tablet with ASICAP, connect an OTG to both the Guide and imaging CCD.
2. Focus the Imaging CCD with the main focuser.
3. Switch ASICAP to the Guide camera, and focus the guide with the helical focuser."

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