A dust filter will help catch any debris that the filament attracts when exposed on the printer. It can be things like dust or particles that land on the filament and is then dragged through the extruder and hot end.
Generally, a dust filter will help keep your drive gears and most importantly nozzle, clean for longer.
For anyone using a all-metal hotend, I recommend also oiling the filters with sewing machine oil. This helps with extrusion when using PLA in hot all-metal hot ends, as friction gets lower. although it's not necessary, it does keep it clog-free for longer.
Hope this helps you keep your printer running smoothly!