Directionality matters with any asymmetric membrane because you have the force of whatever is being pushed through the membrane on the thin filtration surface. That then pushes onto the backing support which gives it physical strength. If you go the other way, there’s a risk that the membrane delaminates and passes.
Extrapolating to the wider world of membrane filtration (not relevant here) you also get irreversible fouling if you collect retentate in the support, as it can’t be removed by backwashing, side washing, etc.