Hi Jim,
Generally filters are used to correct the blue hue on underwater images, which is created by the loss of color due to depth.
If you’re using a light, you are bypassing that entire water column above the subject and lighting it up from a much closer distance. This brings back the true colors of the subject and renders the filter useless.
If you try to combine the two, your subject will turn out completely red!
I do recommend bringing along the filter for shooting subjects which are further away than the reach of the strobe (5-6 feet) as well as for videos, where a strobe cannot be used.