On a new build I am working on the skirts and door arcs are MDF and come ready primed. But after a further undercoat and two gloss coats the finish is poor compared to wood skirts and arcs I have done in the past. I also used fine grade paper between each coat.
Spraying is the best for a good finish. You are right, MDF doesn't paint the same as wood. It has a strange look or texture when compared to wood, kinda wavy (not very flat). I like to spray two coats of enamel undercoater then block sand to smooth out the surface. This will even out the texture of the surface. The finish is also sprayed.