I often wondered what they were like because of their race car sponsorship but they haven’t made it to the SE.
They’re kinda like a mash up of lowes and home depot, with a smattering of plumbing and electrical supplier mixed in. Also have some clothing and groceries.
Don’t need a full dust collector is what I said, point being, a good shop vac would probably do, if you’re hooking up something to the gantry, which can only take so much on these machines. If you’re running one inside the house, by all means, crank it up to 11.
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For the record, you can get smaller dust collectors fairly cheap. I just picked this up and it’s not bad, I haven’t permanently connected it to anything, but it seems like it will do the job https://www.amazon.ca/gp/product/B07D9YHZ87
I built an enclosure for my MPCNC, I use a dust shoe, I printed/built a cyclone, and I vent outside. I think you need all of the above for reasonable dust control when cutting MDF.
If you don’t vent outside, there will still be lots of dust particles floating in the air afterwards.
When I cut MDF by hand I always do it outside. Like when I built the enclosure for my MPCNC out of MDF 
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When I built my MPCNC I sized the table so I could wheel it through a slider onto the back porch, I think that will be part of the drill should I decide to play with MDF.