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can ESCAPE be run without such a filter without damaging anything?
As was mentioned above, they don't come with one so they can be run safely without one. None of my Escapes ever had one until I added it - only difference I ever noticed was the reduced air flow through the vents.
Under no circumstances allow the dealer to install one for you. It will hurt. Do it yourself in about 20 minutes the first time you do it. 10 minutes next time.