It could well be dust, though you can also get small clumps of dried TruOil that form around the neck of the bottle which then get transferred to the cloth you're applying TruOil with. So always keep the neck of the bottle clean and use a different cloth or rag to wipe the neck of the bottle free of them before use.

Yes, you've got some small dips in the finish and some particles stuck there. They should all go once you do a proper levelling sand to a flat surface. You are probably moving up to the next grit too soon. I'd stick with wet 240 until the surface is as flat as you can get it, with no dips or pits that you can see when you hold it up to the light at a shallow angle. Only then start moving up the grits.

Finer grits remove less and less finish, so you are never going to get rid of any pits with that. They'll polish the flat surfaces, which will leave the dips more obvious by comparison.