That's how it is. It comes with a fleece (air clean) which, together with the bag, is supposed to ensure 99.XX % clean exhaust air. There is no mention of Hepa, not even in the replacement packs. 1 fleece for 2 bags.
One bag is included. A replacement may have to be purchased. They are available everywhere, including on the internet, where they are even cheaper. I buy them from Migros/galaxus.