For $50 per carriage, dust collecting sponges, fans or filters could be fitted, but train companies don't care. By doing anything about the dust they might be opening themselves up to lawsuits claiming they didn't do enough about a risk they knew about... There are also political issues - often the train company bought the trains 50 years ago and will pay extortionate prices to the original manufacturer for any modifications, and if they make modifications themselves the manufacturer will drop all support.

Many modern trains are starting to have electric braking, and that produces far less dust.