Only the front fans have filters, I believe. Mind you, I haven't tried removing them first hand...the system I built with the HAF 922 is an hour away at my cousin's place.
Now, since it has a 200mm intake, and a 200mm exhaust + 120mm exhaust, you'd probably want to make sure the intake is running faster than the exhausts so that there is positive pressure in the case, causing air to only come in through the intake (and therefore, through the dust filters). You could also add a second intake at the 5 1/2 inch bays. If you do want to add a side fan, then yeah, you'll have some dust accumulate.
The 922 isn't perfect, but it's, IMO, the best case for the money. It's main competition is the Antec Nine Hundred Two, and it beats that quite handily. It doesn't look quite as pretty, but the interior workings of the case really put it to shame.
If you really want to start going towards more 'perfect' cases, then you could step up to something like the Coolermaster Storm Sniper.