As a fellow New Yorker, I am all too familiar with the soot that seeps into all of our windows. I am not as conscientious as I should be in cleaning my
plants, but they have not suffered. (My lungs may be another story!)
If the dust is allowed to accumulate too much it will reduce the amount of light available to the
plant. This reduction in light is not good for the overall health of your
plant.
No need to be obsessed, but it is definitely a good idea to wipe the leaves periodically with a damp cloth. It will also make them look healthier.
No need to worry about the AC, as long as it is not blowing directly on your
plants from close range.