That is the re-deposition of the vaporized basswood (“smoke”), blown in that direction by the air assist fan.
Masking can protect from that for many applications. It’s harder with detailed engraves, where the masking may get totally destroyed.
People have various techniques for removing that, including wiping it off with isopropyl (rubbing) alcohol or hand sanitizer (which may soak in to the wood less), and sanding. Others will fill in with any I have missed.
Edit: More radical solutions include upgrading the air assist: