I only use rain water in my outside orchids and I dont filter it because... well, they're outside.:D

I toss mine out to get rained on directly through the warm season. Give 'em a good bath and a little dry before brining them back in when it starts getting too cold. The occasional acorn or fallen leaf has never hurt them --- just a matter of picking them off/out occasionaly.

Is it not recommended to collect rainwater in the city? I live in a big city and I might start doing that soon, but I was concerned about air pollutants adversely affecting my plants. Anyone have any clue if it could?

If Philly's air quality is no worse than Atlanta, go ahead & collect/use the rain water. If collecting roof runoff, you might want to let the rain to rinse off the roof for a while before you start collecting.