Just tried it out on my 5DIII with an ND1000 screw on filter.
Took me a few seconds to work things out.
First 'surprise' was that my ETTR wasn't working, then I realized there was a clash in switching on the ML functions, ie I use SET to trigger the ETTR. Moved this to a double press and all went fine.
I don't think you should put on any caveat regarding not using a screw on filter. If you are careful it works fine: you don't need to fully screw on, just enough to stop photons, which don't like going round thread corners :-o)
Looked at the two exposures and the overall exposure seems about right, within a stop and there is an expected shift in the WB, ie my filter is not one of the best quality ones, but acceptable.
I will play around with the few test shots to nail down my 'exact' ND effect, so I can use ETTR without and not move too far to the right when adding in my ND stacks, ie I tend to use a 1000 and a 16.
Once again dmilligan, thanks for a nice ML add-on.
PS I have posted about this on my blog, ie workflow, at: http://photography.grayheron.net/2014/08/another-great-magic-lantern-feature.html