I have seen a few queries on edge-treating MDF. Here is a wonderful solution:
A sign-maker had me do some 3D sculpting on my CNC using 1" MDF as a substrate. Needless to say, it exposed a whole whack of fuzzy grain. He told me that was easy to deal with if one used Zinser BullsEye Stain covering white ceiling primer. We did. It dried ready for sanding in 2 hours (I suppose that could vary with temperature and all that). It is a bit messy as it is oil-based..at least it needs mineral spirits for clean-up. The result was absolutely effortless, fast, cheap, and just great.
Works like a charm. If you didn't know this already, you do now.
rHappy CANADA DAY