Is it worse or better than create three wallet files for three address types?
What is better?
It is hard to say which one is better because it depends on what you want to achieve. Generally speaking it is more convenient to have one deterministic wallet where you store a single seed phrase so that you can recover everything with that one.
Also after 5 years there shouldn't be anybody left who doesn't accept a simple native SegWit address. But if you have no other choice it is best to keep things to a minimum, like 2 wallets one Nested SegWit and another Native SegWit.
With sweep, all UTXOs will be sent to a receiving address I type. Does it include dust UTXOs?
Yes.
If you are receiving payments you don't need to sweep the keys though. Just spend the coins whenever you need to. If you want to combine the outputs from your 2 wallets as I explained above and you are using Electrum, you could create a new wallet from private keys that contain those coins from each of those addresses and combine UTXOs that way. Although this is a privacy hazard as it would link your addresses.