Used the same stuff. Did the same. Sanded to 220. Rolled on with a foam roller.
While 1 coat may be sufficient, it was cold when I rolled mine, and in order to fill any low spots, and built up a good level coating with 3 coats (sand in between) so that I know sealed the MDF up good.
Since MDF sucks so much water, and it can get damp here, I primed the inside. Didn't have to sand it because it won't be seen. I half ass sanded the back, but didn't lose too much sleep. What was nice is that the white inside benefits from a bright colour inside IMO for service and keeping it clean. If someone spills something on or near it, I won't worry as much about swelling.
It ain't cheap, but it's great primer. Haven't had any lines telegraph through yet, which seems to be an issue with unsealed MDF.