Quick take
Remove the showerhead, clean the threads, use PTFE tape only where the manufacturer calls for it, install the filter in the correct flow direction and flush before use.
Remove and inspect the shower arm
Clean old tape, scale and debris from the threads before installing the new filter. Damaged threads can leak regardless of the filter brand.
Do not overtighten plastic housings
Hand-tight plus a modest final adjustment is usually enough. Excessive torque can crack housings or damage seals.
Check orientation
Many inline filters have a defined inlet and outlet. Installing backwards can reduce performance or create pressure issues.
Flush before normal use
New media can release carbon fines or trapped air. Run the shower according to the manufacturer flushing instructions before using the water normally.