The point is that you can't know if an intervention works until you actually test it. There are tons of possibilities, including that some pm2.5 particles cause lung damage and some don't, in which case overall pm2.5 exposure would be correlated to negative health effects but using an air filter to reduce dust in your home might have little or no health benefit. We don't know yet.

Generally avoiding pm2.5 particles is a reasonable precaution but you can't say that things like air filters are actually the most effective health intervention someone can do until you test that experimentally. That's simply not how stuff like this works. There are virtually infinite health interventions that seem plausible but don't actually work when tested.

As with a treatment for alzheimer's disease, cancer, or heart disease, you can't simply say that X is correlated with disease, an intervention Y reduces X, so therefore Y must have positive health effects without actually testing Y.