The typical PC case is not designed for filtered air. Apparently there was a conscience design decision to not require periodic filter maintenance, That is, if the filters are not cleaned (which is likely for the lazy consumer) then the equipment will quickly overheat.
The typical PC case relies on negative case pressure (the fans blow air out) and circulates unfiltered air. Overheating will not occur until dust accumulates over a longer period of time.
If you want a PC that is cooled with filtered air, then you have to convert your existing one (not really practical) or use a different case that utilizes positive air pressure. Positive air pressure is maintained by blowing in filtered air, which will tend to keep dust out. Trying to add filters to your existing case and plugging up every leak is not practical or likely to actually work as long as it uses negative case pressure.
Also I found out the dust builds up not only inside the computer but also clogs the 'holes', so is the advice concerning filters correct?
That's the problem of using negative case pressure. Every hole becomes an air intake, and would either have to be filtered or plugged up.
Is canned air safe to clean current dust?
Yes.
Sometimes I see bits of liquid when I spray it.
It should quickly evaporate, and leave no residue. But if the equipment is still hot, then you could damage the it, most likely solder joints. So only blast it when it's been powered off for a while (e.g. overnight).
But you should try to minimize this liquid condensation by holding the can properly, shake the can between blasts and avoid long blasts.
It also says to always hold the can upright, but sometimes it's impossible to hold it upright to clean the place I need to clean.
Then you have to reposition the object that you're blasting, rather than tilt the can.