I would guess that a lot of the insulating ability of dust comes from the airspaces that are trapped within the layers. Little straight conduction of heat through a consistant medium. Much harder for the heat to leave the dust and enter the air pocket then back into dust on the other side only to repeat that over and over as it travels through to the outside environment. The rate of transmission must be greatly slowed by each of those borders that is transited. Rather like standard home insulation.
Oh, you are absolutely and technically right. I was just moaning and complaining, doing my New Yorker act. I suspect that if the dust was compressed, it would greatly reduce its insulating ability, as you essentially outlined.
I am right now actually mildly surprised that one doesn't find on Newegg, MWave, Zipzoomfly, etc., filter mounted case fans for sale. Since this ultimately still is a Star Trek based forum, it would be a very logical product to manufacture and sell!