My experience was that they work, but they work really well in a limited area. Close to the unit, no problem. As you get further away, it works less well due to the distance. Some filters you can clean, others may need to be replaced after a few cleanings.
I doubt you need one w/ a HEPA filter, that's for airborne particles that may be smaller than dust. Those are more for people w/ bad allergies. I was very concerned about dust myself, but even w/ a lot of dust, that tended to be local, not global. The only thing I made sure was dust free, along w/ the enlarger's light path. Paper usually isn't out long enough in an unexposed condition to worry about dust getting on it.