I have just gone down this road, Cokin Pro series, I only have the 8X ND grad and may get the 4X and 2X.
I have a screw in Hoya Polariser and a screw in 8X ND, I also have various skylights and UV, these I use for lens protection only.
I unscrew these before I take a picture, I am sure they could stay there and do no harm but my thinking is, why put a piece of glass in front of a 1-2 K lens.
I am in the process of selling all my lenses and apart from my 50, my new and existing will have 77m filter threads, another pain to contend with when you have different sizes.
Most effects can be achieved with photo shop but if you are the sort to go out before sun-up then I think a couple of filters would not go amiss.
Fascinating subject and my own personal view is, a filter will give your picture the edge over a non filter picture.
There are professional bods on here that will advise you much better than I can, I am back to school