Personally I think you should always used a UV filter screwed onto your cam lens to protect it. A UV filter is a lot cheaper to buy than a repair to replace your cam lens. If you are talking about specialised filters I cant help there I have never used a matte box
Neutral Densities are what I meant, sorry for not being clear.
I think I realized why it's better to use 4x4 and a mattebox, though: Convenience.
I looked at the play lenses I have, and they're all different thread sizes. So having 4 x 4 filters and a Mattebox lets them all take advantage of the same filters instead of buying ones for each one.
The problem with circular filters mainly plays out in the form of Grads. An example is when the sky is blown out so you use an ND grad to even out the exposure. If they made circular grads, there could be a line down the center of the frame.