I can only speak from my one-time experience. I used the Diamabrush prep head from HD last month in preparation for my Armorpoxy. I also debated whether to do it wet or dry. I ultimately decided to do it dry as I was concerned about cleaning up the slurry after grinding wet. I do not have a shop vac nor did I use a dust shroud.
There was certainly some concrete dust in the air but not the amount I was expecting. For better or worse, I didn't even use my dust mask as I didn't feel like I needed it. I did use a small floor fan to blow the dust out toward the driveway as I was grinding, and I stopped every so often to sweep up the dust and put it in a garbage bag. I was pretty well covered after I was done but a quick once-over with the leaf blower cleaned me up. Then I blew out and swept the garage well, mopped several times with water, and I was ready for the primer.