No you don't have to have separate filters installed to have separate settings. Each filter is a Windows application that stores settings in the registry and/or configuration files. Are you even aware of the concept of profiles in ffdshow? For filters without support for storing several separate settings profiles, MC could easily add that functionality. Actually, it's already there, since MC already sets up all the filters as needed!
Do you need several separate installations of MC to use Zones? Nope.
He didn't explain it very well. Perhaps he misunderstood some part of how it actually works, I'm not sure... Either way:
I don't know for sure, I don't work for them, but I'd
guess that the main reason they don't let you configure their copies of the filters is because they want the freedom to change the included set without asking anyone's "permission". There is not even any promise that MC will continue to USE ffdshow, much less keep a particular version that has a particular feature. For example, they just recently switched away from ffdshow to LAV for a big hunk of the RO audio functionality. If they completely eliminated the need for ffdshow down the road, then MC wouldn't even download or have that filter available for your use.
So, if they let you build your own profiles for ffdshow (or LAV or madVR or whatever) and then either completely eliminated one of those choices or changed to a different build that sets the settings differently (maybe deprecating old functionality) they'd have a bunch of people griping that "I updated to a new build of MC and it broke all of my custom settings". This is, of course, still possible with RO+Additional Filters, but it is much less likely because all of the "+ Additional Filters" are
outside of MC.
I do know that in many cases (such as with madVR) they aren't even using the registry setting system for the filters like they would in other applications. MC is directly configuring the filters at playback time. In any case, they don't have to test all of the filters for every possible setting combination before they update to a new build of a particular filter, they just need to test the stuff they are using, and the rest can be completely broken and no one cares.
The idea is really quite simple:
1. If you want to use Red October for playback, there are only two simple choices: Standard and High Quality (which correspond to "a regular computer" or "a high-end computer"). These are supported fully and will work, but they are handled completely behind the scenes. It is a black box.
2. If you want to tweak, you have a few choices. You can combine Red October with a whitelisted set of "additional filters" which are known to work fairly well with the Red October system. You have to obtain and install these yourself, but this lets you tweak the settings yourself, and set it just how you want it. You can also switch to "Windows Merit" mode, and go it completely alone.
The assumption for #2 is that you know what you are doing, where to get what you want, and how to get them working. If you don't, then you should go with #1 instead.