If you mean can you only use it as wet or dry media then yes, one or the other, because it would take too much time to try the media out to make it "dry media" but honestly media is not a huge expense in the grand scheme.
If you mean can you only run it through the machine once, its not that simple of a question to answer because the way you run it through the machine is just like dry media. It gets recycled through a filter though after it leaves the hopper and then gets fed back into the system once filtered. Some dry cabinets do that with the dust collector, but generally most guys toss what is collected in the filter because they don't see the benefit of filtering all the trash out of those collections, especially when the idea of introducing that stuff into your system can cause so many other problems.
All you have to do is go to youtube and watch this video and you can learn how the system works, it's parts, and what it takes to build one out of a HF blast cabinet and the extra parts. It's a little lengthy but shows it is not out of your realm to make one but it still costs about 1000 bucks and I am assuming that is if you buy the cabinet too. It's not the same 100 % as the Vapor hone sytems, but then again its 1000 bucks, so it is within the realm of the every day man, just so long as you have enough CFM and air pressure to push it.