HEPA filters are good enough for the exhaust from BSL4 labs. They work. But they only work on the air that passes through them, as a barrier between separate environments. Just placing one somewhere in the room probably won’t help much.
You'd be surprised how effective "just putting one in the room" is. You can build a fairly effective cleanroom that way, and cleanrooms are a lot "cleaner" than is required for effectively reducing the viral load for things like COVID19
Absolutely, but compare that with not having a filter operating at all. We've seen that one or a few infected individuals can infect hundreds in a closed space, so if we could reduce that by even a small factor, it's definitely significant.