Good point - I would refer to the UK HSE FAQ, which says "... However, the levels of free formaldehyde in boards made within the EU at levels of formaldehyde class E1 are thought to be insignificant. .."
http://www.hse.gov.uk/woodworking/faq-mdf.htm
MDF cutting is always very dusty, though. It outputs a fine dust which becomes a paste when wet, and is very difficult to get off things, including out of your respiratory tract! While I find that many advised safety precautions are well over the top, I do try to avoid breathing in any MDF dust at all. The advice provided is usually more driven by legal and regulatory requirement than a real appreciation of danger.
I built my CNC machine in a spare bedroom, intending to move it to a shed for operational use. However I find that it is so clean and quiet in operation that I could leave it where it is - it produces much less dust than manual cutting and planing/sanding to shape used to do. That is, of course, with thin cutters and 1/8" balsa. No doubt with wider cutters and MDF sheet the dust levels would go up.
And, of course, my wife has other priorities....