I've never filled a filter before installing it. Not on the WRX or on any other car that I've owned previously. Even after draining the oil from the pan during an oil change, there is still some oil left on the internals. As for potential damage to the engine, I would suspect that it is so negligible that it really doesn't matter. If the damage was really as critical as some on the board would suggest, then all 3 of the Honda's that my parents have would be dead by now. The oldest one is at 130K miles and still going strong. . .never pre-filled the filter on it. My friend's Integra was at 298K miles and would have kept on going if it wasn't stolen and totaled. . .never pre-filled the filter on that car either.
In the end, whether or not you choose to pre-fill the filter is up to you. The more important issue is that you do the oil changes at regular intervals.