I have used both KVH CNS-5000 and the Xsens MTi-G-710 that do what you are asking. Both these products provide on-board sensor fusion. The CNS-5000 uses an EKF and I am not sure about the Xsens. They both cost in excess of $4k. I am unaware of any less costly solutions that integrate both the GNSS and IMU.
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 ...