Do I need HEPA filtration in a wet/dry vac?

Only if you're vacuuming fine drywall dust, lead paint, or allergens. Standard foam-and-cartridge filters are fine for water, leaves, sawdust and general debris. Community discussion notes that some 'HEPA' shop-vac claims are H10-class (around 85% capture), which is well short of true HEPA, so read the fine print.