The diesel fuel filters are critical for keeping things like water out of the engine, which will destroy the engine. The fuel filters also keep dirt and grease out of the fuel pump, high pressure lines, and injectors. The Bosch CP4 and CP4.2 fuel pumps used in the Powerstroke 6.7L engine are well known to fail if they are fed any kind of water, dirt or junk.
The fuel filters should be replaced every other oil change, or about every 15,000 miles. The owner's manual says it is required every 30,000 miles - p. 579-585, in the chapter "Scheduled Maintenance." In cold climates more water will condense in the fuel tank. In hot climates, less water condenses.