We've done a lot of scales over the years and I can tell you there is no single right or wrong way to address these issues, we've done it multiple ways and we sometimes go back and forth. I do have some thoughts to share.
Make no mistake, the fines are getting through your way covers and onto your ball screws and ways. I've had over a dozen CNC machines over the last 20 years and I've worked on all of them, I know what I'm talking about. Contamination will happen, but there are things you can do to minimize the damage. Keep as much of the fines off as best you can and filter your coolant so it isn't highly contaminated.
I started out doing it wet to keep the dust and fumes down in the shop. At first I was doing it on a CNC knee mill and I'd run the coolant through a mesh to catch the big stuff before it would go back to the sump and I added a big filter to the coolant line to catch the smaller stuff. This approach requires a lot of attention and your sump fills up with fines. It works but not in any kind of volume.
We eventually started making scales by the thousands. It was done in two operations on two machines. Op 1 would deck it to thickness and put the holes in. Op2 would put them on a fixture and shape them. The op1 machine was a regular VMC. The chip pans would clog up and flood the shop so we drilled them out and allowed most everything to fall into the sump. There was a permeable damn in the sump between the dirty side and the clean side. I have a big pump rated to pump solids up to 3/8" that would pick up muddy coolant from the dirty side and run it through a big bag filter to the clean side with overflow going back to the dirty side. There was no dust and it was very efficient and kept the coolant pretty clean. You had to empty the bag daily.
Some machines manage chips better than others. There are Makino graphite mills where the X and Y axis are above and behind the machine and the Z is the table going up and down. All of the ways and ball screws are safe and dry. There are also machines where the enclosure is built into the table like the Mori Jr. We have run these in our shop for years.
I like this layout for micarta and G10 because the way covers stay clean and dry. The chips pour out the side of the table into a hopper. We line the top of the hopper with mesh to catch most of the trash and have a filter pump and divided sump like described above. A problem with this approach is this kind of machine layout fell out of favor in the early 90's and this kind of machine is difficult to find with a good modern controller like an OM-C rather than a 10M etc. They exist but they're hard to find. So I built a box to mount to the table around the vise on a conventional modern VMC that accomplished the same kind of thing which kept trash off the way covers. It would dump over the side into a mesh lined hopper inside of the VMC that would catch the chips and fall into a sump with a filter pump to collect the dust mud in a bag.
Our process is always changing. Right now I'm using a Mori GV503 as the first op machine. We're running it wet. This machine has a moving head for X and Z while Y has way covers. Those covers are arranged in a way to stay pretty clean but I have yet to see what kind of contamination issue we will run into. The chip conveyer isn't an auger or a belt but is a series of scoops to deal with the mud. The filter is built into one of the conveyers as a big mesh covered drum that turns with the conveyer to separate the clean side from the dirty side. I'm sure I'll still need to add a 20 micron bag filter but it shouldn't need daily clean out.
Currently we're doing the second op dry. This is done in a separate building with a dust collector on a Mori Jr. There are fumes and also invisible dust so people don't work in there without a respirator. We have the shop built with the machine on one side of a divider with a big flow through AC unit in the outside wall and the dust collector on the other side of the divider collecting dust in a cyclone and blowing the fumes and ultra light particles out the wall outside. This wastes a lot of heat or AC but it addresses the dust and fumes issue.
Unless your shop vac or dust collector are truly hepa filtered don't fool yourself, that air is dangerous to breathe over time. If you're a hobbyist you'll probably be fine but if you're doing much of this you need to take precautions or it will catch up with you.
So, to summarize, we do it wet with coolant and sump filtration when done in the main shop area where people work and we do it dry with dust collection on a mill designed to keep trash off the way covers down in a "dirty air" building. Keep the trash off the ways as best you can and accept that G10 and carbon fiber can reduce machine life.
