Nope. Pleated paper works fine for wet pickup.

I'll take your word for it. As I said, I never vac liquids, but I would
think the filter would clog up even more if you tried to vac dust after it
was wet from vacuuming a liquid?

The people making regular vacs can hardly give away models that use
bags any more. Most people want bagless. I see little chance of shop
vacs moving in the opposite direction.

Shop Vacs are essentially "bagless" by design, but adding the "bag" inside
the tank really improves the filtering ability and clogs far less
frequently.

Anthony