Here’s the reply from Elektron for the reference of anyone else who has this issue.
"This is the nature of the way this device is designed, I’m afraid it’s not possible to avoid this when turning it on/off.
I recommend using the dry/wet knob instead, this will help you add the effect more slowly (and avoiding the click)."
Edit: This is tricky, because you don’t get the warmth/distortion of the Heat when the Dry/Wet is at zero. So if I want to use the Heat for both warmth/distortion and the filter in a live situation, I need to carefully adjust the Drive and Wet Level so that the Dry/Wet will have the same volume whether it is fully wet or dry (while at the same time making sure I hear some warmth when it is wet). Then after getting that balance, I can turn down the Dry/Wet just before turning on the filter without losing volume. Finding that with the Drive and Wet Level both just over 50% I can get some warmth from the Heat in this way when on Saturation mode, but not hearing anything from it when I use Clean Boost, which is a pity because I prefer this setting.