MDF may well be banned in the USA, I wouldn't know, BUT there are a lot of mythical "facts" around about MDF. I'm NOT pretending that MDF is harmless, it isn't, particularly not the dust from cutting it, but you should consider it not much worse than any other wood dust (or indeed, dust from anything else), and just as you say, use a mask - just as you should with just about any other dust.
A member of this Forum, Peter Millard, has a regular channel on Youtube, in which MDF in all its aspects is regularly discussed. Peter earns his living from making all sorts of custom built-ins (wardrobes, bookcases, etc, etc), mainly from MDF (the MR type). A while back he discussed some newspaper stuff in which a client (not one of his if I recall) had problems with an MDF built-in "gassing off" after installation. It turned out to be a load of exaggerated nonsense (as so many newspaper articles turn out to be when looked at closely), and Peter's channel at the time looked at the whole subject in great detail - from the viewpoint of an interested, experienced, but not directly involved bystander. Well worth a look IMO.
MDF has the advantage of having very smooth faces and comes in sheets of VERY uniform thickness, so is, IMO, ideal for a zero clearance scroll saw insert. The surfaces take just about any finish very well indeed, and just about the only faff with it is getting cut edges sealed (again check Peter Millard's excellent Youtube channel for lots of hints and tips on that aspect - and do a search on this Forum because the subject is fairly often covered here too.
In short, both my own opinion and my own experience, PLUS lots of information here all suggest that provided "sensible precautions" are taken (mainly using a mask, just as you say) using MDF in certain situations has a lot of advantages and very few down sides.
As said, I neither know (nor do I particularly care) if MDF is banned in the USA or not, but you shouldn't let that sort of scare-mongering drive you away from a material which has definite benefits - especially if used with care for a small component such as a zero-clearance insert.
And NO, MDF shouldn't be banned over here!