I have several of the red dots.
The sunshade is exactly what the name implies; it's used when the sun is in front or directly in back of you and causing glare or reflection on the lense of the scope.
The filter is useful in bright sunlight shooting conditions used to take some glare off the target; I use it in front of the scope.
I only used the filter/shade a couple times; under most circumstances it will not be needed.