That gray primer looks a lot like the PPG "epoxy primer" I used years before this board was created. The stuff was high-build, flowed-out like glass, and was super-easy to sand, if needed. It would also soften & dissolve in reducer, days or weeks after application, which had me (and a number of others) wondering just what this material is. A catalyzed epoxy should withstand just about any chemical other than methylene chloride. It's good as a primer-surfacer, not so much as a primer-sealer. True epoxy primer-sealer, is impervious to most chemicals...and a tough S.O.B. to sand.
Whether, or not, to sand primer depends upon the project...and painter discretion. It's not strictly necessary. However, the best epoxy primers don't flow-out very well. With a true candy color, the end result won't look quite right if there's any orange peel left in the primer. I've always gone over framesets, giving them a final blocksanding with 600-grit. A lot of little stuff can't be seen until a part is one, uniform, color...and most flaws can be eliminated with this added step. It's an extra prep stage and optional, especially with any conventional metallic or solid color, except gloss black...maybe. If one has perfectionist tendencies, the difference a final sanding makes is substantial; the parts have a clean, crisp, look. It is another full day's work and it's drudgery...so not for everyone.
As for breathing protection, isocyanates are seriously toxic, nothing to take lightly. If you have access to a state-of-the-art downdraft spray booth, then an isocyanate-rated twin-cartridge respirator is okay. IMO, getting and maintaining a perfectly airtight seal against ones face is difficult. I invested in a fresh air supplied full face mask, positive pressure doesn't rely on a perfect seal...plus a full paint suit. And this is with a crossdraft booth setup. Some may think that I am obsessive about this topic. Know that methylisocyanate causes suffocation at the cellular level, and catalyzed paints based on this chemical remain "wet" more than long enough to be inhaled while still wet, then will harden(!). These paints are top-quality, extremely durable and non-toxic...once cured. Just make well-informed decisions. In this case, it's all prevention...no cure possible if you get it wrong.
Reading the manufacturer's tech sheet will tell you everything about the chemistry & safety protocols.