It's not unusual for primers to have a rough texture after spraying. Doesn't really matter since you'll be sanding it.
One tip: Most people like to spray the epoxy and then follow up with the primer surfacer in the same session so they don't have to sand between them. Saves some manual labor. So you let the epoxy dry for an hour or so then go ahead and shoot the surfacer. That way they bond chemically.
There is no need to sand the base before clear. You use the same method described above. The base will have a "recoat window", meaning there is a window of time where you can shoot the clear and it will "cross link" or chemically bond to the base.
I advise find an old fender or some panel to practice settings and speed with your gun to make sure you have it shooting as smoothly as possible. If you still end up with texture in the clear coat, you can solve it by "cutting and buffing" the clear. Make sure you shoot 3 coats so you have enough to sand down. Of course on the clear you use very fine sand paper to correct texture like 1500, 2000, 2500 etc. And you will need a good ginder/buffer to be able to buff out the tiny sanding scratches with polish.