I have operated from several DX locations with the 706 and I usually run RTTY and PSK31. In both cases, the 500 Hz CW filter works wonders to cut down adjacent QRM. The 500Hz filter comfortably accomidates most digital modes.
There is a different way to use the CW filter for digital modes without running split. Bascially you lie to the 706 during the setup. You first install the filter, and then in the setup menu, tell the rig that the filter is the SSB filter. The rig will allow you to now use it in SSB mode. The rig will think its 2.4 kHz, but the filter will only allow 500 Hz through. Of course this method means that you don't have a filter in CW mode unless you go back to the menu and change the setting. You will have to used the IF shift to move the 500 Hz passband to the right area, but this is very easy if you are using a waterfall display.
You will not need the filter during most casual digital work, but during a contest or if there is a lot of QRM from a DX station, it does help.
73
Jeremy N1ZZZ