Formatting the GoPro's SD card frees up space. But it also gets the card ready for use and keeps the filesystem healthy and minimizes the risk of errors. Here are the various ways to do it on different GoPro models.
If you're looking to add polarizing or ND filters to the GoPro HERO7 cameras, the HERO6 Black, HERO5 Black, or HERO (2018), PolarPro has a 3-pack kit of snap-on filters specifically for these camera models. Here's my hands-on review.