I have received dust many times in the last years, mainly in addresses with positive balance (I don't check the empty ones often, so I don't know whether I receive something there). As far as I'm aware, that's not a big issue since there is no need to send dust in order to track the transactions from or to that address since the blockchain is public.

IMO, the moral should be keep things tidy, the same if you received dust or not. Although a single point of failure is enough to break your privacy, the more mistakes you make the more chances of being tracked and, eventually, attacked. So it is a good idea to create throw-away addresses while being aware that every time you consolidate you may be sharing too much info.