Either way. If you get you mudwork finished off well with the z grip, no reason you would have to use a glaze or finishing filler. I believe that the finishing fillers are the only type recommended to use over sanded paint or a primer other then epoxy ie, urethane primer, and in moderation,not too thik of coat, like for example you find some pinholes or something in your filler primer to fill or area thats a little low. You certainitly can use regular filler to skim coat as well, many do, and I don't think the old timers had 2k spot puttys and glazes way back when. The reason many use glaze or finishing filler as that they typically apply smoother and sand easier.
Since it sounds like you already have urethane primer on, I'd probably use a glaze of finishing filler if you even need it. If you did a decent job finishing you mudwork, you probably won't need it, and round or two of block sanding and reapplying you urethane primer will be all that needed, other then maybe fill a pinhole or something here or there. Normally when people talk about skim coating, they are talking about applying a thin tight coat over the bodyfiller, when its pretty much blocked straight, to fill the courser sanding scratches and pinholes or minute lows that may still be in the mudwork, before any fill primer is even applied.
Other then that, sounds like your on the right track with what you've done and your grits.
Guide coat and block your fill primer witharound 180 and see how its looking and how straight its feeling. Maybe a round or two of blocking will be all you need.