You are right that grease and dust will cause problems. it can infect cause the ball ways to gunk up and cause a ball screw failure. To guard against this you need frequent cleaning and lubrication of the ball screw nut. by the way this applies to you linear bearings too.
I've never tired dry lubes so can't give advice there.
At work we run some linear bearings absolutely dry due to issues of contamination of product. I can't really recommend this either unless you need have a budget for frequent replacements.