Once MDF has been sanded there's a lot of loose material that's hard to remove from the sanded surface, and the individua fibres themselves can pull away easily. That's what causes problems sticking things to MDF surface.
I would prime the surface with a wash of diluted PVA glue. You can lightly sand it after, but not too much . Repeat the process until you get a glass finish if you want to. It dries real quick.