In article .com,
wrote:

So I still don't understand... will the shop (or me) be covered with
oil without an exhaust filter ?

The dangerous part is that the inside of your lungs may get a very thin
coating of a very small amount of oil - which can kill you surprisingly
well. It's the aspect of a fine oil mist or fog that is dangerous,
AFAIK. In the labs I used to work in, we had filters and also an exhaust
system which pulled the filtered vacuum pump exhaust outside.

For small shop infrequent use, a simple filter and an exhaust hose to
the outside would probably be fine. The fancier sort of filter is costly.