It shouldn't matter too much which direction you have it. And by "in reverse", I think they mean put the "load" on the house side and the "line" on the TC side. That's because generally these filters protect devices from line spikes, whereas you want to protect the line from the TC spikes. Either way it should work, and I, personally, would just go ahead and wire it up backwards. It is also very important to connect the filter as close to the mains and as far away from the Tesla coil as possible. This will help it filter out the spikes more easily.
Der Strom