Epoxy has very strong adhesion to all kinds of surfaces, so it's great to use over bare metal and inaccessible places where you just couldn't get all the old paint off. You should scuff sand it for better adhesion of the subsequent paint, but (as you discovered) it's easy to sand through it if you do more than that. The polyurethane primer can be built up in layers and sanded to get it smooth as a baby's butt; if you sand through it, you still can spray more polyurethane, or, if it's only a couple small areas that don't go through the epoxy, just leave it alone. Together they make a nice combination.
You can use only the polyurethane, but you lose the adhesion advantage of the epoxy, and if you sand through it, you MUST respray it. Also, check the data sheet for the polyurethane primer; sometimes the manufacturer recommends specific prep for a bare-metal surface.
On my TR, I used this two-primer system. I used both primers on outer surfaces, but only the epoxy on places like wheel wells, the trunk, and the engine compartment, where appearance just didn't matter so much.