There should be no loss of any flavor with filtering as it's a physical removal of particles by essentially using a screen (like panning for gold). The organic molecules that are responsible for aromas and flavors would need a pretty darn tight screen to be able to get them to be filtered out. In fact, I know you can filter down to the bacterial level, but that is still huge compared to some molecules.
Fining has the chance of binding to some of these flavor/aroma molecules but that really depends on polarity (think poles of a magnet) of the molecules and the type of fining agent used, although there are differing opinions as to whether this will affect the end aroma/flavor volume of the wine. The fining agents in kits are added to be able to help the kits be ready to head to bottling faster. Time will also act as a fining agent.
I have not filtered any of my wines but I do let them sit in the carboy for some time. After several months, I have not noticed a measureable difference in the amount of sediment at the bottom of the carboy but I have noticed that potassium bitartrate crystals settle it out in some of the wines. It's not a lot, but they are noticeable as they seem like hard plastic beads in the residue at the bottom of the carboy. As Mike noted, there will be a fine dusting of sediment that can fall out over time as opposed to another boatload.
In general, I do not add any other fining agents to my wine other than Bentonite. Given enough time, I have not seen any difference between a filtered wine and one of the wines that I have made in this fashion in terms of clarity.
Know also that sediment can continue to drop in bottles as they age, even with wines that were fined. Wine is a living thing from a certain point of view - it changes and develops, grows and ages and then dies over time as the chemicals inside of it react with one another and with oxygen that seeps in through the cork over the course of time. Most people will readily drink their wines well before they reach a state of oxidation in the bottle, and this could take years and years depending on the wine.
RickC - I normally wait around 9 months or so to head to bottling and have noticed no problems without fining or filtering. I am not advocating that this procedure is better than others as I believe it really comes down to preference (filtering and/or fining). But if time is on your side and you can use it, it can help you.
- Jim