All my filters were clean and clear of dust when I closed the filter wheel and yet all of them have collected some dust on the filters, some more than others. Note my kit includes Atik, ZWO and Starlight filterwheels, note none are immune.
It depends on what level of imaging you wish to achieve. I always create flats for each of the filters in the wheel that were used in the data collection. If I am too tired to create the flats at the end of the collection night, I generate them the next day before the system is used again and focus altered.
There are many threads on the forum that go into detail about calibration frames, it is worth reading a selection to understand better the role of calibration frames in image processing.
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