No HEPA filter = clean only large particulates.
With HEPA filter = even smell is also removed (eg finish eating nasi lemak, turn on filter, after a few minutes, there's no smell at all).

The cheap cheap ones will not have built in detectors.
Without the built in detector, you don't know if it is actually cleaning the air or not.
With the detector, it is easy to tell. Open the door, dirty outside air comes in, and you can see it on the panel. Stir fry some chili dish, and the detector indicate it.
Without the detector, you turn on the power, and the fan starts. Turn off the power, and the fan stops.
With the detector, I turn it on when I get home and the fan starts. When the air is clean, the fan stops automatically. If I open the outside door and dirty air comes in, the fan automatically starts up, and stops again when the air is clean. I only turn it off when I leave for work the next day.

The one I have also have this humidifier function as well. Which now that I have it, I don't think I need it. Only makes the machine more expensive. I never use it. The air isn't that dry because I do not run the air conditioner 24/7.