Laser cutters generate smoke (with possibly toxic particles). They have air extraction attached to them for that reason. No air extraction on this model?
Take a look at the specs -- you can either vent them out a window or buy the air filter (which I'm guessing is a fancy charcoal scrubber, don't know for sure).
My lab uses an industrial laser cutter a lot, and perspex fumes stink. We have a large extraction unit to capture the fumes.
Filters only capture a limited range of compounds too. Important to always check whether the filter can handle the material before cutting.