That’s the usual way to do it, yes, if you only want to add a filter and not make further adjustments within the filter.
But I want to be able to make filter adjustments to all clips after it’s been added instead of having to make changes to each clip’s filter individually.
For instance, add desaturate 100% to all clips. Then go in and see how desaturate 90% works on all clips. Then 80%, etc. I want to be able to try out different filter settings until I get the one I like.
In AE, you add an adjustment layer and make changes to the filter there which affects all clips globally. That way you can turn them all on or off, increase or decrease settings, etc.