My RO water filter system has three filters. What is the fourth filter?
The fourth filter is an inline carbon polishing filter for removing any taste/odor that was imparted into the water by sitting in the water storage tank. 

Yes, it should be replaced at the same time as your pre- and post- carbon filters. You don't need it, so if you don't want to replace it then remove it from the system. You might not notice any difference in the taste/odor of your water.

If it is installed correctly, the blue 1/4" water line coming off the right side of the fourth filter should go directly to your RO faucet.