I work at a museum and we use MDF all the time, and we use acrylic or water based paints on it all time, with out any problems. Now maybe the board we get in Canada is different than what you get so do a test before you go with anything else. We also use something called agualente (usually sprayed) it can be bought tinted or clear, which you can spray over a colour coat. A few coats (it dries very fast) with very light sanding between coats and your MDF will be smooth and tough.
LaughingAndroids tip about sealing the edges is perfect, a really good way to fix the edge absorbing issues.