DTP filters will continue to work as normal even if the cube is compressed. However, DTP filters will pull from F and E tables. They will not differentiate between compressed and uncompressed requests.
So lets say you use the Calmonth filter = Jan 2015. Let's also say that there are some records in the currently compressed reqs, belonging to Jan 2015. Those records will get picked up by the DTP - bear this in mind.
So keep that in mind and if you are sure that the calmonth and comp code filters are correct, then go ahead.