I'm way too idle to write a guide, but I can give whoever writes it some tips. If you spot any errors don't mind correcting me, I might very well be wrong about many things.
When using midi macros (Zxx) to control filter cutoff/resonance it works lite pretty much any other effect. The default values are Z00 to Z7F controls the cutoff and Z80 - Z8F controls what is usually called resonance.
By default global filters (S9C) are enabled, which means the cutoff/resonance values stays the same for new notes. Changing to local filters (S9D) resets the aforementioned values to their default (Z7F and Z80 respecively).
In the Song Properties window you can enable High Filter Range, which means that the cutoff frequence is doubled and the transition from no cutoff to minimum cutoff is less apparent. Unfortunately I don't know the exact frequencies, then again who cares eh?
An option to using Zxx commands to control the filter is to use the reso and cutoff sliders in the instrument window. It's a relativley new feature, and since it's instrument specific rather than channel specific (like the Zxx version) I don't know how predictable the results are when combining the two.
There are two modes for the filters in mpt, high pass and low pass. You *can* set filter mode with the Zxx command, but I don't really know how... I'm confident I've done it, and I thought there was a special command for it (like S9x something) but apparantly there isn't. If you want to use high pass mode, then the easiest way is to set it in the instrument editor. Not the best way, but a way.
Another newish feature is th \xx command. It works like Zxx, but instead of just setting the value it slides to it (smoothness depending on ticks resolution I suppose) to create a smoother transition.
About your question on how VST's affect internal filters, they don't. The output of the channel or instrument (preferably) is simply sent to the effect of your choice, and if it's filtered then that's what's sent. Note that you should select the right macro to control what you want, using the SFx command. the first macro, SF0, is set to control the internal filter by default.
The only issue I know of (apart from the lack of documentation) is that it's easy to forget to turn the filters off.