I heard that too, but every time I go to a car show nearly all the turbo'd cars I see have K&N filters installed... hell, just to be sure, I stopped into Rennen, which is our local VW tuning shop (they've dealt with 100's of engine swaps and turbo upgrades) and they said differences between cone filters are negligable. I asked them what they use on their customer's cars and they just showed me a bunch of generic knock-offs.
I used to have a generic cone filter in my 9-3, but the cheap metal started to rust and it looked pretty dirty, so I bought a gigantic K&N cone filter on Ebay for about $35 shipped (brand new, in box), which is much better than what you'd normally pay in a retail chain. It looks better than the APC-ricer bit I had in before...
... I also heard that the tests you see regarding filtration are a bunch of BS because even though one company may filter less than another, the numbers are still incredibly close. They just doctor the charts to make the difference seem drastic and 'dangerous!'