You're right, they don't have a filter....but....they do have a very fine mesh strainer in the oil pan.

This strainer is what became clogged on my wife's 940 and caused the tranny to start slipping.
I figure the torque converter was becoming "starved" for fluid after driving it a short distance and disengaging.
The "clog" was composed of a small amount of very fine fibre, probably from the clutches, although I believe (rather hope) it was normal wear (240K).
The fluid was dark brown, I mean really dirty.
One good sign....there were 2 magnets in the oil pan and neither had collected any metal.
I replaced the strainer and flushed the transmission and all is well (for now anyway)..

steve