I believe you that the HVAC isn’t designed for such a filter. But a few months back my home was in the path of smoke from some wildfires. The AQI went from 200 to 0 after I installed a filter and ran the house fan for an hour. Also, the furnace doesn’t have to work very hard here because of the mild climate, so I never have much of a heat bill anyway. It would be a bummer if the furnace died because of it running out of spec, but I’m skeptical that the risk-adjusted cost of that is higher than the cost of standalone filtration units.
All the commercial HVAC technicians I speak to say to use the cheapest non fancy filters if your goal is to maximize life of the HVAC system, but I'm sure it all depends on everyone's specific system and how the return is and whatnot.
