Actually the instructions DO say to remove the 1/4-20 locknut from the filter.
"4. Disassemble and set aside the beauty washer, 1/4-20 flat head cap screw, and 1/4-20
locknut originally installed on the air filter element . (Will not be reused)"
OK, now the mystery is solved.
Jerry
I see it states that for the "Super Gas" model but the instruction for the "Merc" seem to leave that step out
Even though they are effectively the same part.
Either way it sure is a crappy way to ruin your engine 
That it's in some of the instructions as Jerry found, or not (as Phato mentioned), doesn't help with one unfortunately unpleasant fact. It's up to us when using aftermarket (actually any) parts to first make the stuff play together and follow that with making sure the parts are good to go on the bike. If there is a piece on the intake side of anything that might be ingested we have to be able to recognize that and eliminate the potential problem whether instructions tell us to or not.
Stop and think about where most instructions come from. Some small (or perhaps not small) company has a few guys responsible for coming up with a new product. The design team leader, foreman or whomever knows he has to get instructions ready for the public and get them ready for printing so the new product can be packaged as soon as its in production.
Who does this boss choose? His best guy doing his best and most productive work? Or the new kid or the schlub at the end of the line who is barely treading water to begin with and whose loss won't be felt for a few hours while he's tasked to write instructions?
That's not the guy you want to trust to keep your bike from locking up beneath you going down the road. That guy is why it's incumbent on us to view and review everything we handle and see and exercise judgment beyond the instructions.