You probably dont want to hear it, but the answer is: "It depends". You need to look in the tech sheets to see what is OK to do, or not.
For instance, some epoxies have good filling qualities, other have none. SOme are easily sandable, others are just non-sanding sealers. Some epoxies do not like to go over self etching primers.
I use HOK KP-2 epoxy because I can get away with using only one primer. It sticks well to everything, fill scratches and lows pretty well, and seals. Nothing else needed.
Urethane surfacing primers usually need a good adhesion primer under them..so epoxy or etch is OK as a first step. IIRC, they also need a sealer over them, so you need to buy 3 paints instead of one. That's why I use an all-in-one primer like KP-2. You can put it under or over bodyfiller, put glaze on top of it, recoat it any time, it is very versatile. Probably why I don't know much about other brands of primers!