when i went to school for autobody repair, we always wet sanded the primer surfacer

 

i didnt say it was necessarily wrong, just not necessary. and it makes a big mess. also, some primers absorb water causing rust under the paint surface.

 

if its a bare metal surface you use self etching primer first, then high build primer on top if needed. me personally i dont like dry sanding primer, plus with water, you can tell when its done alot easier, just my opinion.