Short answer: always wear a properly-fitted, high-efficiency respirator so you can reduce your chances of developing respiratory problems or certain types of cancer of the respiratory system later in life.
There are many levels of protection when it comes to filtering the air you breathe, from cheap paper masks that provide very little protection, to slightly better disposable masks with or without breathing valves, to well-fitted half- or full-face respirators with rubber gaskets and P100 filters (HEPA-level, removing 99.97% of airborne particles down to 0.3 microns in size).
No matter how good your dust collection system is, some dust will always escape at the collection point and some may not be filtered at the filtration point.
To answer the various points in your question:
Why does it seem mandatory to wear a dust mask?
Because inhaled dust can clog up your lung tissues. In the short term, you can become sensitized to certain types of material, and longer-term you can develop respiratory ailments and/or cancer. Not everyone is as susceptible to any of these negative outcomes, but there is not a way to predict whether you will be one of the unlucky ones who does develop some sensitivity or ailment.
When is it not mandatory to wear a dust mask?
Strictly speaking, never. If we all wore respirators 24/7 and never removed them, we could reduce the spread of airborne diseases, reduce inhalation of secondhand smoke and automotive exhaust, and generally keep our lungs cleaner.
But there's a point at which protecting yourself from future ailments becomes impractical or seems excessive (even ridiculous), given all the other hazards we face on a daily basis. And not everyone who is subjected to dust develops cancer or any other ailment. Only you can decide what level of risk you are willing to accept for yourself. Personally, I go by whether I can smell the dust, which means I almost always wear a respirator, even when working outside.
I work mostly outside with a breeze as my dust collection, am I ok?
You're certainly better off than being in an enclosed space in which the concentration of airborne particles increases the longer you work, assuming you are not wearing a respirator in either case. But you're not necessarily as well off outdoors without a respirator than you are indoors with a respirator, especially with tools that produce a cloud of dust around you when you use them.
Is wearing a dust mask more important when using certain tools?
Yes, some tools produce more dust or finer dust, some tools collect less dust, and some tools eject more dust directly toward you. It all depends on the tool, application, and whether the tool was adequately retrofitted or designed from the start with dust collection in mind. For example, most circular saws have little or no dust collection, while most track saws at least have a dust collection port built in or available as an add-on. And most sanders these days have dust collection ports but some work better than others. Most miter saws currently on the market have terrible dust collection, but many table saws have pretty decent dust collection.