So I don't use a dryer/filter, but I am typically doing most of my woodworking over the winter when I have more free time, so I benefit from the dry wintertime air. I have not had a problem, but most people recommend using one, so I am sure I will add one at some point.
I generally use water based finishes (big fan of General Finishes High Performance), but have used oil based in the past - not too terrible to clean up - they come apart easily, and go back together easily. Much quicker than cleaning an airless unit. For the tip, the cheap HF one comes with only one tip, but it's pretty easy to get it to work with the stains/top coats. I recommend filling with water and spraying a large piece of cardboard to learn how the adjustments work, and learn how much overlap is required, how much speed is required, etc.
I don't use the HVLP for spraying latex, you might need a nicer gun for that. If I am spraying latex, I use my Titan airless sprayer with fine finish tips.
I always strain all finishes. HF sells a cheap little stand that works well with the HVLP gun.