It is still needed, but it's also dangerous as you pointed out, bare connections waiting to bite one day...
You could goto hardware/electrical wholesaler and grab yourself a junction box for electrical wiring (various sizes and shapes available).
The boxes vary in style, some are fully enclosed boxes, whole others are a base with a box-lid that mounts to the base....you could mount the base around the mains filter, then the lid-cover safely encloses the filter from prying hands.
Failing the junction box, you can also go with a 'block mount' for a regular household power outlet....the block mount is deep enough to conceal the filter, then fit a blank panel on top to safely enclose it.
( The blank panel is used when you dont wanna mount a panel with a switch or 240v outlet on it etc ).
my 20c.
