I don't think I've ever heard of anyone really using MDF as a material. But yes, you could paint it if you want to. I would think that MDF being mostly a resin to bond the material, would tend to dull the blades quicker, and may not produce as clean of a cut line as real wood or even a ply. I've not seen or entered any shows though, to really say if painted stuff is generally not accepted. I prefer to just clear coat my wood. I only use ply for the backer board of my projects. I have yet to make any project just from Ply.. though I have thought about it.