I heat the stuff in a water bath on a hot plate actually. The reason I do this is because I've seen some odd septicemias after working in a pathology lab for a university as a virologist and pathogenic bacteriologist. Ideally, you could do it without heating the suspension if you filter with a 0.22 micron membrane filter....good luck with that. A sterile glass fiber 0.22 micron filter is easier to filter through than a membrane filter. You can filter through a 0.22 micron membrane filter if you have a sterilized receptable attached to a manifold and a vacuum pump, but even then it will take a long time. Depending on the manufacturer of the powder, the powder could be very clean or there could be some <0.22 micron cysts and spores. The spores isn't much of a problem unless there is an allergy. The spores smaller than 0.22 micron would be very exotic as well, but then again, where was the powder made? Not every cryptosporidium is over 0.22 micron either.
Albeit, the chances of getting an infection from anything after sterile filtering without heating is slim, but still probable. With heating you at least attenuate any potential organisms. You may still get an immune response, but not an infection.