Dust does collect in the usual spaces, like crevices and corners. However as you do not really want to conformal coat a heatsink, mostly because it then stops working unless you have really massively overspecced it, or it is only a heat transfer plate to a chassis or other heatsink, using a lot of thermal interface material and fasteners, it will still be an effective dust trap. Thus most boards with the need for active cooling use a fan, and either use a very good dust filter on the air inlet and outlet ( surprising how much will come back in there when power is off), or use a hermetic case with cooling done by circulating internal air with a fan and a finned exterior so there is no ingress.
The only good thing about conformal coating is that cleaning dust off is very easy, as it tends not to stick, though if you get conductive dust it does really nasty things in connectors, which is the major drive for hermetic cases along with conformal coat.
As to the coatings, try to aim for a solder through coating if you ever intend the boards to be repairable, as it does make the life easier for the poor guy doing rework, he only has poisonous fumes ( in addition to the flux) to deal with, not fumes and noxious chemical removers that do a really good job of removing the epoxy coat, the labels on components, the underlying board material, the top of the bench, the floor and your skin and nose as you try to clean off the small area you want to work on. If you want a good coating get a flexible conformal coat, as it at least is probable, and it does reduce vibrational stress on components, so can help you pass MIL shock and vibration testing which can quite easily shake components ( like larger SMD capacitors and inductors, along with anything tall and skinny) off the board or snap the leads.