I agree... if you are going to be close to the spray, at least a UV filter would be a good idea. I usually don't use them "for protection" (I think that's silly, personally). But when there's a lot of spray is one of the times I'd make an exception and install one. If going close where you'll get really wet, I'd use some sort of plastic sleeve or other protection for both camera and lens.

A polarizer would be good for glare off the water and to enhance blue skies. HOWEVER, keep in mind that a C-Pol will also make rainbows "disappear" from your images, if you have opportunity to shoot one, as in the above example.

Finally, if you want to go for that "creamy water" effect.... yes, an ND filter would be needed. I'd try a 6-stop filter. Probably more than enough for falling water. Personally I find the effect a bit too common and over-used. But, I still might take a few shots that way, as well as some without the ND filter, using faster shutter speeds. If you do use an ND filter for longer exposures, you'll need a tripod too.

Whatever filters you use, make sure they're high quality and multi-coated. Modern 15-layer or 16-layer "Nano" coatings are more water resistant than 8-layer coatings. Layered filters like the C-Pol can be ruined by water intrusion. I don't know about others, but B+W's F-Pro Kaesemann and XS-Pro Kaesemann C-Pol are both edge-sealed to keep out moisture.