Why yes. It does make a difference. If you use it it will let more grit and dirt into your engine, reducing its potential life. If you expect better performance in return you will be sadly disappointed.
Regarding performance: the filter doesn't seen to make much of a difference with the design of the snorkel and airbox. If you start changing one of those two items then a filter may have an impact.
If you are going to ride in very dusty conditions or just don't want to buy a new filter every other service you might consider an oiled foam filter such as the Uni. The oiled foam will also work better if it gets wet in that you can dry it out and continue on where a paper filter will become shredded.
Back to K&N: bottom of the page here:
http://www.largiader.com/shop/gallery/
It's an oilhead, not a hexhead airbox that he's picturing with crap along the bottom. Note his comment.