If you wish to filter, then you would do so when you bottle it, after it is already as clear as it will get by just letting it settle out (or from fining agents). You only want to filter an already clear wine - the filter is not a strainer!
The "consult your retailer" part of the instructions is no doubt to encourage the kit customer to use a suitable filtration device and not coffee filters or similar. While those will work to some degree it's not the best treatment for a wine that you've put a lot of care, time and some amount of money into! (and coffee filters don't actually work that well)
There isn't a solid concensus among winemakers (amateur or professional) on the topic of filtering. Some think that to do so strips out flavor, body or color -- others disagree -- others may agree but feel the benefits of filtration outweigh the drawbacks. Benefits of filtering are to limit/eliminate sediment in the bottles, prevent viable yeast making it into the bottle and having fermentation continue with exploding bottles (Only sterile filtering can work for that), prevent nasty things from getting into the bottle and mucking up the wine (ditto on the sterile thing again).
Another benefit of filtering is visible - a polished, bright, clear wine -- degrees of which increase with the fineness of the filter. The better level of filtration you want, the more you will have to pay for the equipment and filter pads. Filtering does increase the cost of winemaking - but how much that is a concern depends on your personal feelings on the matter.
Good luck with the port! I've heard that particular kit is a good one.