[Dexter_643]

I have been told in the past to make sure the oil filter is filled before putting it on the bike as there was the possibility that if it was not filled it could somehow have a giant air bubble and not let the oil flow correctly. To me it alwasys sounded like a wives tale, but who knows?

I don't know about an air bubble necessarily, but if you start an engine after an oil change with no oil in the filter it'll be running momentarily with no oil pressure, i.e. no lubrication. It won't kill your motor, but it's certainly not a good thing. And since it's easily preventable, why not?
Not to mention, as someone else pointed out, it will give you a false reading on the dipstick.

+2cents