You'd be correct in that, in fact, the older Saturns had a spin-on filter on the trans case, something I always liked about them, but they still need something on the sump to spare the pump should garbage be produced, as that's going to be sucked up and run through the pump "first thing"...
I like the idea of an external filter and will likely incorporate one in the future, once I'm making enough power to break something!
Mike