So.
I did some math, because i was curious.
(Ignoring water/steam here because they're technically infinite and irrelevant)

If you straight up crack heavy oil (H) to light oil (L), you turn 40H to 30L.

If you instead filter Heavy oil into coal, you get a ratio of 80 H to 10 coal
Liquify that 10 coal with 25 H nets you 90H, 20L and 10 gas.
This is a net transformation of 15 H into 20L and 10 gas, which is better than the straigh up cracking.
You could even turn the water you get from the filtration into steam, albeit at the cost of some resource and void off the excess.

But this is a lot of extra work for a small gain and i believe the filtration process is relatively slow...