Epoxy primer

Short answer, no epoxy primer is not hard to sand.

As George Jets said, epoxy primer is used to seal bare metal and keep moisture out.

So, question #1... did you take/are you taking your car down to bare metal? If so, then you absolutely need to shoot epoxy over it. You will do your body work over the epoxy coat.

Question#2... are you planning on laying down a 2K or 4K primer over the epoxy? These are both thick primers that fill in sanding scratches with no problems. So, you can sand epoxy with a rough grit and not worry about seeing scratches later. Most experienced painters also shoot a coat of sealer right before paint, but that's a personal preference.

What color is your paint? Make sure to use primer that works best with your color. There is white, gray, black, green, even red.