I have a HEPA purifier in my rat room. I agree that it helps with the smell (and it helps my fall allergies hehe).
Since we know that stress and discomfort can cause myco flare ups, I say they do help. They reduce smells, clean the air and should be able to purify/remove dust, mold spores, bacteria and pollen (assuming you get a true HEPA air purifier). All of these things make breathing easier and more pleasant for rats. Just like scrubbing all off the pee (ammonia) off of our cages every week, it's a good preventative measure (in my opinion).