If you're using the PPG DP line they talk about this on their data sheet. There are (at least) two schools of thought on this. You've heard the one, the other is based on the tendency (ability) of moisture to migrate through typical polyester fillers. The proponents of filling on top of the epoxy primer believe it to be a barrier to rust forming under the polyester filler. Both methods work, and many shops who are on the hook for warranteeing their work will fill on top of prepared epoxy primers without fear that the "mud will fall off".