High-Efficiency Particulate Air (HEPA) is a filtration system in vacuum cleaners. It helps to trap in dust particles that are as tiny as 0.3 microns so that you don’t inhale them.  It’s an ideal feature in a handheld pet vacuum cleaner for pet owners with allergies and sensitivities.
Since inhaling clean air remains ideal then a vacuum cleaner that can help filter out contaminants will be a good value for money as well.