Is it necessary to use any filter to fuse Ublox ZED-F9K's GNSS and IMU/Odometry
My answer is NO, for the following reasons:
(1) GNSS and IMU are independently developed modules with matured software. It is unlikely for the vendor to "fuse" them at the hardware level. A more efficient method is to let the MCU/SBC to talk to either or both guys using I2C, UART, or SPI.
(2) uBlox uCenter uses very simple, text based NMEA0183 protocol, and update rate is of the order of 25Hz, so the user can easily pass the slow GNSS data to IMU for processing.
Discussion, Conclusion, and Recommendation
I think it is not a good idea to use the expensive US$300 ZED-F9K module to do any feasibility studies. I would suggest to use two separate modules (1) UART NEO-8M, (2) Any I2C IMU and use Rpi python to do any system integration test.
(1) SparkFun GNSS Products Catalog
(2) GPS-RTK ZED-F9R Dead Reckoning Breakout - SparkFun US$300
(3) SparkFun GPS-RTK Dead Reckoning ZED-F9R Hookup Guide (Python)
(4) GPS Fixing Time Problem Q&A - tlfong01, EE SE, 2020sep03
(5) Neo-6M/7M/8M GPS Module Setup/Fix/Update Problem Q&A - tlfong01 Rpi SE 2020jun18