Actually, not having a well, and building a grate or bars, provides a more secure barrier than a well does. I've also not observed any *actual* benefit in filtering out impurities. A well will never provide more pure water than simply taking water directly from the same tile. Muddy water is quite obscure, you need to go to a lot of effort to produce it artificially, I'll be honest that I've not succeeded (I made a tile really quite muddy, up to "pile of mud" level, but it still wasn't muddy enough to make the water drawn from it "laced with mud", I gave up because muddifying tiles is quite time-consuming), this means the only muddy water you'll find in practice is in in the caverns, and the only time a well will draw non-muddy water is when it's built over 2z deep cavern water, which itself is fairly rare and highly unlikely to be a convenient to have a well built directly over top of it, most likely you'll want to move the water to a more convenient location which gets rid of the mud anyway (any method of moving water, including fill pond, will filter out mud).
And while it's true that a single well can have extremely high value, you can also get extremely high value out of other things - for example a screw pump also enjoys architecture bonus and you can use enormous silver or steel corkscrews, which provide absolutely massive value - almost certainly more than a well's components can, probably even more per tile. In any case, there's no particular shortage of things good at sitting around and looking pretty which don't reduce the efficiency of the fortress.