A Terry filter and the EMI filter you cited on eBay are two completely different beasts. Neither one replaces the other. The Terry filter is used to filter "bad stuff" between the main spark gap and the NST, for the purpose of protecting the NST. The EMI filter is used to keep "bad stuff" from passing from the NST primary back into your mains wiring, in an attempt to minimize interference to radios, TV's, etc. I have an EMI filter wired into my coil too, mostly because EMI filters are cheap and there's no down-side to using one. But there's no doubt that radio reception in my house, and likely beyond, is affected, regardless.
IMHO, the Terry filter is the more valuable asset. If you had to choose one, that's the one.
Regards, Gary Lau
MA, USA