If your filter is located far upstream of the furnace such as in a filter grille, I would look into the attic to possibly find a disconected or poorly installed very leaky intake air duct.
And yes, with return air ducts in the ceiling you are apt to find less dust being drawn back, simply due to the force of gravity. Away from the face of a return air grille the velocity of air movement drops away very rapidly and only those particles likely to be airborne are going to be collected, which of course are much smaller than those dust bunnies collecting here and there or heavier particles you find on your furniture.
I don't know how often you change your filter, but if you do frequently, in such a case, you may not notice much in terms of accumulation. An electrostatic air cleaner uses the velocity of air passing through it to produce a charge. Never the less, any filter will collect visible dust in a dusty area given enough time.
A filtered return air, while able to do it's job in and at it's position, cannot compensate for dust and allergens that are already in the duct and airstream behind it, nor can it help with the dust that accumulates in the nooks and crannies of supply ducts year after year during off seasons. Best thing I've found in terms of allergy releif is to recommend that you have your duct system thoroughly cleaned, especially if it's an older home, and if you're prone to allergies have this done every two or three years.
Air cleaning filters and other apparatus are good items in terms of filtering moving air and keeping dust at it's minimum, but few if any of them can handle the entire job. Dust is, unfortunatley a fact of life!

As far as I can determine, if the return is in the ceiling, it's utterly useless. After about 7 1/2 months, I wiped four filters with a white Kleenex and found no
trace of dust on it. I don't expect to ever buy another filter. There are no leaks in the air ducts that I can find. Putting the returns at floor level makes much more sense.

If the returns are close to the floor and the supply vents are in the ceiling you will have a lot more dust and dirt pulled into the system. Either way the supplies and returns need to be separated.

The 'filter' really and ultimately is there to protect the system from getting plugged up with dirt and everything else. Dust sticks to the A coil like a magnet and kills efficiency. The clean effects and UV bulbs and all the other steps are secondary to clean what dirt or allergens that did happen to make it in the air stream out so we don't breathe them. If the returns are low the filter(s) will need more attention than if they are in or close to the ceiling. If the systems worked the way some think they should there would be no use for having vacuum cleaners or dusting ever. Turn your system on and take a leaf blower to your carpet in every room and blow off all of the lights and fans and check the filter 24hrs later...it will probably be loaded.

If you have recessed lighting that is not sealed the dust level will be a lot higher also regardless of how much money you spend on a filtration system. Every time you open and close doors in the house your pushing and pulling air through the light housings pulling dust out of the attic insulation with it.