I don't have a ton of background but here is my experience. I was recently using some syringe filters (not Whatman brand but same idea). These filters also had the slip fit outlet. I was concerned at first the same as you. However, if you make sure the pin is well seated onto the filter outlet you should be OK. The pressure on the outlet of the filter is much lower than the pressure you have to create on the syringe to push the oil through. The risk of dislodging the pin is low.
If you are a science nerd like me you can actually see the effects of the high inlet/low outlet pressure on the filter. You will be pushing solid oil in but if you look at the filter outlet you will see bubbles in the oil. The high pressure on the inlet is keeping the entrained air in solution. The low pressure on the filter outlet allows the entrained air to come out of solution and expand. If you would suddenly blow the pin off the filter outlet it would be wise to change filters as you may have broken the filter media.
The flow across the extreme restriction of the 0.2 micron filter is the cause of the pressure differential. This is the same reason there are special cold weather specifications for engine oil. High viscosity oil would be really difficult to push through the filter (engine oil filters are in the 8 micron range.) Cars typically have a filter bypass to at least keep some oil flowing (it will be unfiltered but dirty oil is better than no oil - for cars that is, not for injectables).
Que Bill Nye saying "Science!!"
