Around here - ALL hay is dusty - at least to a certain extent. Even the hay we cut and bale ourselves - so we KNOW there is no mold, has dust. I think it mostly comes off of the dirt roads and plowed fields. If it's really dusty, I just water the bale a bit. We feed round bales - and I don't water it enough to really get it wet, just to settle the dust. I may have to go out the next day and water it again because the horses have eaten what I watered the day before.
That can be a problem for horses that are sensitive to the dust. I haven't had that problem, but a neighbor did and had to resort to feeding bagged hay - pellets, cubes, ground, chopped or whatever, but it had to be bagged. It was expensive, but he loved that old horse.
Plain Old Dee, horses Dancer and Rain I believe in dragons, unicorns, good men and other mythical creatures!