Hey Jonas, your situation sounds quite similar to mine. Shooting an Indie feature. Need to be able to go Guerilla. I prefer not to have the weight etc.
Another point is that Mattebox filters are more expensive than screw ons. And another bonus to no Mattebox for Scarlet set up, is that you don't have to worry about a riser to bring your Scarlet up to standard height. So there are a fair few cost savings.
I have gone the screw in route also. You'll probably want to seriously consider some IR ND's though and the Vari's are supposed to be atrocious on Scarlet and 4k. There is a good screw in 77mm route - via the Tiffen Indie Pros which is the way I went. If you haven't already read up on the IR ND's, it's definitely worth reading up on here on RU.
All that said, dropping in filters fast and easily with a Matte Box is great obviously, grad filters as you mentioned, and I can see why generally it's an essential pro tool, as Phil is right of course about the importance of controlling light. And one other thing that I know might sound a bit ridiculous, is that it's not just clients who see pro when it comes to Matteboxes, it's some actors. Some really do respond to a "Film" camera look.
I will certainly get myself a Mattebox sometime after my Indie is over, if I'm not living on the streets that is, and i can afford something decent and the filters to justify it. But for now all I've done to help with flare control is buy a $35 dollar pretend piece of crapbox off ebay, which gives me few basic flags, that I can also drape/cover further if required. Dirt cheap. Super light, height adjustable and may even just help with the odd actor lol :) At the very least help should stop any cop from asking me for a permit for my professional production... "Sorry sir, carry on, I didn't see your mattebox" :D
http://www.ebay.com/itm/Filmcity-Mat...ht_1861wt_1348
(Note mine goes up to 80mm fronts - which just fits my widest lens - this one is only 77mm - but there's plenty of 80's around)
Best
Lliam