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.