I think the filter you would need for a fisheye like that would be specialized and somewhat expensive, though, due to the protruding front element. Someone in the comments said it would pretty much be the cost of the lens.
Yes, filters that big of any quality would cost more than the $133 fisheye lens he used and add one more thing that could go wrong. I'd gladly sacrifice a $1300 lens to capture a rocket launch that close. Mitigating lens damage is simply something no professional photographer is going to care about in that situation.