Airfilters
 

My home is two years old and the only filter I have is located in the unit. If you have concerns over the return vents and dust/dirt have the vents cleaned by a professional. Then add a good filter to your system.

Good luck

Air duct cleaning? -
Cleaning Air Ducts - What Would Bob Do? - Bob Vila

Sometimes while doing construction where there is dust from sanding sheetrock compound the builder will put temporary construction filters on each return to prevent dust from going into the ducts and remove them when completed.

A very large majority of homes have only one filter, which should be located at or close to your air handler the VillageTinker is correct, you should change the filter every six months typically. However, it really needs to be changed every time it gets very dirty, so if homes are a little dusty. They may change every three months. the return, if there’s an obstruction such as dust build up clogged air filters can cause your air handlers coil to ice up and stop giving air-conditioning in the warmer months
A filter creates friction which makes air have to work harder for air to pass through it. If not enough air passes through coil in the air ice out air can’t get through at all. The more filters in a home, the harder the system has to work to overcome the friction (drag) of the filters.

ADDITIONALLY
if you are pumping air into a space - as the A/C does, there needs to be a means of escape or source of outlet (somewhat like avoiding a balloon effect in a closed space)

the Primary Return is typically the larger 24x24 grill in the ceiling of the living space, and since that is usually a 10 ft high ceiling, the filter is provided in the Air Handler for convenience of replacement (3 month intervals is highly recommended)

I personally have opted for automatic delivery of the Air Filter from Lowe's in the 3-month intervals so I do not have to mark my calendar

and that also reminds us of the recommended 6-month System Maintenance inspection (annually for the Water Heater)

Oh, they know. They are hoping you don’t and you’ll fall for their BS and let them sell you a whole new system.