The effects of dust particles
You asked the single most difficult questions ever, so be proud of yourself! I've spent some time in the lab with a post doctorate trying to answer that particular question. It all is based on something called the hygiene hypothesis: the belief that as we are getting cleaner we are seeing less and less bacteria and so our immune system isn't working as it should so we get allergies. There's lot to this theory with regards to the different white blood cells in our body (specifically Th1, Th2 if you've ever heard of them). Of course there are reverse hypotheses, because we avoid eating stuff like peanuts, but minute amounts is found in dust, dust exposure (which also contains bacteria) makes us think peanuts are harmful so that's why we have allergies. 

Realistically a bit of dust to the most of us isn't harmful but if it contains things like dust mite poop which many people are allergic to, cat skin (another seriously common allergy) or is leaking from a place with mould... you should be okay :)