I also use K&N filters but as you've mentioned, they do not ADD HP. That notion assumes that a stock air filter restricts air flow thus potential HP. A dirty stock air filter does restrict air flow. Another myth is the notion that some brands of spark plugs somehow ADD HP, also not possible.
As for engine wear, unless one drives behind other cars on dusty roads often I wouldn't worry about whatever might slip past a clean, oiled K&N filter despite any claimed test results. I tend to think that whatever is that fine and makes it into the combustion chamber is more likely to simply pass through w/o realistically wearing out cylinder walls and piston rings. Also realize that most engines that are maintained by frequent oil changes (not neglected) usually last longer that the time, mileage that most people ever keep their cars.