Indeed, after using most fining agents there will be a layer of sediment generated and you’ll need to rack the wine off of it accordingly. Fining agents, by definition, are introduced into a wine to interact with whichever of the wine compounds you are trying to mitigate or reduce. For instance, bentonite is a natural clay used for centuries as a fining agent. The clay is dissolved in water then is mixed into the wine as a slurry, where it combines with proteins, forms larger particles and “pulls” the proteins out of solution before settling by gravity as a layer of sediment. Sometimes proteins (egg whites are an ancient and still-effective example) are added in order to react with excess tannins, forming larger particles that fall to the bottom of barrels, kegs, or carboys.
If you can get a good, compact, settled layer it’s not necessary to filter a wine, unless you want to. Be sure to read package instructions carefully and use the correct doses — with fining agents the danger is often over fining. Too much bentonite can pull out compounds that can contribute to mouthfeel and flavor. You also don’t want to pull out too many tannins, for instance. Red wines need them for structure and balance and to age appropriately. For this reason, I always tell people to do bench trials; the aim is to find the minimum dose of a specific fining agent to use in order to achieve the result you’re looking for.
If you’ve followed instructions carefully and haven’t over added, and if you’re patient, it’s likely you’ll get a good, settled layer off of which you can just rack the clean, fined wine. Proper settling can be encouraged by cooler temperatures and by obviously not moving the wine around. If you don’t get a good settle, however, you may eventually have to filter your wine in order to get a clear product and to exclude the fining agent.