First off, congratulations on picking two absolute winners from the Mesa SW line.
I think only you can answer the compressor question based on your tone goals, but I find little to no use for one in order to get a wide variety of great sounds for rock, country and bluegrass. So IME it is not an essential accessory, but for many it is a part of getting to their sound. Before I get tagged as a compressor hater, I own Diamond and Aguilar TLC pedals and my Carbine M9 has an outstanding compressor...to me they are different tools for different jobs.
To get a sense for where to even start on a compressor quest, I would suggest looking at a website called ovnilab.com. There could be some better or more recent info out there, but for a basic education and sampling of what the world has to offer in terms of features and why they may or may not be of use to you, it's a gold mine of solid information. Under the "compression FAQ" section there are also lots of other useful things explained very simply that will help you a lot with the HPF question as well.
An HPF is totally different animal from a compressor and there are some good threads on them that will come up using the search function. Essentially it is type of EQ or filter that can be set to begin working at a fixed (not user selectable) frequency (like in the D-350) or be set to begin attenuating at different frequency points (this is a variable HPF like you see on some other SW amps). The fixed frequency point HPF in the D-350 starts at a point that will give you good full bass while preserving some headroom (very low frequency amplification can take a lot of power) and offering speaker protection from sub frequencies that you can't hear through most any bass cabinet anyway (i.e it's wasted and potentially destructive energy that costs you the ability to play louder without reaching the limits of your amp's capability).
Sorry for the long post, but I think/hope I gave you enough to get started finding your answers.