It depends on the wood. Some require grain fill then sealer. It works out that the sealer will fill in the small gaps that the grain fill misses. Sounds odd, but it is true. Some woods do not require this, some do. It also makes the primer coats stay on the surface and not soak into the wood so much. This means he primer will coat evenly and you will need less coats of it to get a nice working surface. But, it really does depend on what you are working with.
Well it would be basswood, alder, or poplar. Those are the woods that I would paint over. So alder and poplar are closed grain arent they, so I could just hit them with the primer? I feel like basswood is too, but im not positive.
I would still hit it with a coat or two of sanding sealer. Takes a little more time, but you don't want to discover a new bad idea. That is my thoughts at least. I know how the finish will respond to sealer and that makes it easier for me in the long run.