I never have, and my shellac has always been perfectly clear. However, you’re having issues, and it can’t hurt, so I think you’ve got a good idea — filter it.
I have a bunch of the disposable paint filters from the home center which is what comes first to mind. They’re conical, mostly just paper, except the lower inch or two of the cone is a very fine mesh. They look much like this:
but I don’t imagine there’s any problem in using just a normal coffee filter, women’s panty hose, or anything else that’ll screen out the impurities, although I suppose checking first is a good idea, just in case something is sensitive to the alcohol.