Yes. You want the PoE filter on the ingress coax line (the line coming in from the outside). Most coax installs have the ingress coax line coming in and then the line is split. You want
ingress coax line <--> PoE filter <--> coax <--> splitter
Think of MoCA as sending network data along your coax cable lines. Your splitter is where all the different coax lines converge. You need to make sure you have a MoCA compatible splitter so the MoCA signal can travel across to each line attached to the splitter. The PoE filter keeps the MoCA signals from escaping onto the ingress line.
You'll want one of these for your third MoCA device...
https://www.amazon.com/gp/product/B07XYDG7WN/ref=ppx_yo_dt_b_search_asin_title?ie=UTF8&psc=1
This adapter has a coax passthrough port. My setup is
wall <-- coax --> adapter MoCA port
adapter "TV" port <-- coax --> cable modem <-- ethernet --> router WAN port
adapter ethernet port <-- ethernet --> router LAN port
The other adapters simply connect to the coax port in your other rooms. Turn on the MoCA adapters starting with the one closet to your cable modem. The adapters are designed to find each other on the network and negotiate connections automatically. You've got yourself a MoCA network.