Interesting. Yesterday I bought this vac. I want to use it without bags. So the included one filter bag I was about to dispose. But just after first 10 minutes the filter was already so full that I had to clean it. I knew this can't go on the same way. So I cut the bag in order to wrap it around the filter. It's easier to clean the bag, or occasionally exchange it, than cleaning the filter.
Theoretically, the filter can let something through and damage the engine, but how realistic is it... but it is better to use such a cloth bag or a paper bag.