What is the primary advantage of using sealer prior to applying grain filler?
The main reason to seal1 is arguably to minimise the over-absorption of the binder in the filler, which can lead to chalking and/or adhesion problems down the line. This isn't an issue with all fillers, but it certainly can be with traditional oil-based pore fillers for example.
Other sources state that it's to prevent the filler penetrating the broad areas of the wood, making it look murky or grubby, and there's certainly something to that with certain fillers. Still others claim it's to improve adhesion (dubious).
Regardless of the underlying reason, shellac2 is excellent for this as it dries so quickly and reliably, even in a cold workshop.
Am I asking for trouble if I apply grain filler without applying sealer?
It depends on the filler type. With certain caveats you should be guided by the instructions that come with the filler or are listed on the manufacturer's website.
Personally I would tend to err on the side of caution here and suggest you just do it anyway. It's not like it adds a lot of extra time if you're using shellac — shellac coats can be considered dry in 15 minutes or less.
Because of your stated aim in doing this just to note, grain filling is not necessary to achieving a glossy finish. What it does is give you an uninterrupted shine, where the pore structure of the wood is hidden and you get a reflective surface akin to a sheet of glass. But there's no actual difference in gloss level per se.
And some people prefer to let open-grained woods like oak, ash and sapele exhibit their natural grain structure at least to some degree. If you want a partially grain filled appearance it's often enough to just build up a good few layers of your film finish, e.g. at least four or five full-strength coats of poly, and this will occur without any additional effort being needed. It's harder to get the same level of filling of the grain with shellac or lacquer without some sanding back, due to how thin these generally go on (and they shrink back as they dry due to the loss of the solvent).
1 Be aware you're not actually sealing the wood; even two wet layers of 2lb-cut shellac applied by brush will only partially seal the surface of wood, and you generally apply much less than this prior to grain filling.
2 Note that it is not necessary to use dewaxed shellac for this purpose; traditionally such 'sealing' was done with plain ol' waxy shellac because dewaxed versions simply weren't available.... and obviously it didn't cause a problem.