What Oil Filter to Use?

Do I have to use Kawasaki's (or other bike makers) filter?

No. There are many manufacturers that produce oil filters both for cars and bikes. You'll find a list of compatible filters and their part numbers on this Fixit page.

Another question might be "will I save any money buying another brand of filter?" That depends on your relationship with your dealer. Many offer 15 or 20% discounts on parts when you buy your bike from them. Some have been known to charge 10% over their cost to good customers. With that kind of deal you might feel more comfortable sticking with a genuine (bike maker here) filter.