I don't filter mine. Maybe I should, but I doubt I will. I just use it as is from the barrel which is from my roof. Using the logic of "if I can't drink it I don't want to give it to my plants" isn't necessarily a good way to approach it. I use worm casting tea on my garden. The plants seem to thrive on it. No way I'd drink it. I wouldn't drink hydroponic
nutrient solution either, but my hydro plants would die or at least perform very poorly without it.
Run off from roofs can have some harmful chemicals from not only the roof, but from the deposits from fossil fuel exhausts. Plus, it may also have other pollutants depending on how close to industry you are and what industries are near you. I don't know in what concentrations, so I just don't risk it. I also would filter prior to drinking it just for safety. There are likely some bacterial contributions from any debris on the roof or in the gutters. I'm sure some from bird poop.
You can often have your water tested by the treatment facility or by some universities. Try calling your local extension to see if they can recommend anyone or point you in the right direction. Some of the most common pollutants are actually not bad for plants (nitrates, for example).