I have my setup mobile - built a cart loosely based on the one Steve has provided a video link to. That means my dust collection has to be part of the cart.
My "shop" is a one car garage. Everything is on wheels. Which makes it interesting when changing projects. On the other hand, all the carts have drawers, so it was an amazing increase in storage space.
If you have a normal shop you can use a bigger/better dust collection setup where the vacuum isn't two feet from your head and there is no noise problem. But that does point out one thing for your shopping - check the noise levels. If possible see it live where you can hear how loud it is. I don't need to cover up for a few minutes work but after a while it gets to be problematic.
I have a DeWalt shopvac. By itself, it is not too bad, but when combined with any other tool, hearing protection is needed.
If I were to upgrade to a newer scroll saw, I would need to upgrade to a MUCH quieter shopvac in order to take advantage of the dust collection. The new shopvac would need to be considered as a required part of the purchase. That is why I was wondering if the upgrade would make enough difference to be worthwhile. My 11 year old EX-21 works well enough that it does not need to be replaced.
If I win the lottery I'll get an actual shop and it will have a dust collection system with noise abatement so I only need hearing protection when I use a noisy tool.
If I win a lottery, a new home with a shop, and lots of new tools to replace the ones that are barely "good enough" would be in order. Isn't day dreaming fun?