Drugs are "toxic" to the target in normal dosage, possibly to the organism in high dosage. So limit your dose and truly toxic, not allergenic, wood compounds will not affect you much. I don't make dust while turning, so I don't wear a mask when doing so. Sanding is another matter. There, a properly placed and employed dust collector can remove probably 95% of all dust to the confines of a container. I let gravity help, and confine most of my sanding to an area of the revolving surface that helps direct the stream into the maw of the collector. Takes three bowls to stain a Kleenex when I neglect my paper mask, so it must work pretty well on the dust. Do get the sneezes when working woods like western red cedar, but that's because, as I said elsewhere, I'm releasing compounds in the wood into the atmosphere as I crush and heat it.
I don't like competing eddies when I'm collecting, and that would describe what you can create by mounting one of those whole-shop filters in the vicinity of the lathe. I want the stuff to feel only the influence of gravity, the throw of centrifugal force and the pull of the vacuum which carries it away. If you believe that it's the smallest size particles that harm you, you'll do the same. They're the ones that are most susceptible to the eddies and influence of something pulling air from overhead. Which usually passes your nose on the way.
Then there are the horror stories, where sensitization and allergy make any dose a potentially lethal dose. The urticaria, the edema, the histamines pumping can all lead to trouble fast. EVERYONE, turner or non, young, but especially old, should have an antihistamine available in the house at all times. I like an elixer over pills. You can take it at the first sign of rection if you are one who's sensitive to other things and recognize the symptoms, or wait and call someone to come and stick you with epinepherine, which will make your heart pound and your kidneys release. If you have known issues with reactions, you may even get a self-injector prescribed. Mind the expiration date, as I have had patients whose pens were four years out of date wondering why it didn't "work like the time before."
Best of all is the old vaudeville joke.
"Doc it hurts when I do this."
"Don't do that."
No exotic wood is worth the risk if you have alternatives to which you currently exhibit no reaction. It's the turning that counts.