The first coat of gray primer primarily serves to expose the defects in the surface of the kit. Things like seam lines, air bubbles, pinholes (also small airbubbles), and casting defects need to be exposed and corrected at this time.
For this step I use red auto glazing putty. I keep a jar of soupy putty thinned with laquer thinner for this purpose. I apply the thinned putty to the defects and rub it into the pinholes wherever needed.
Once the red putty has dried, I use 320 wet/dry sandpaper to sand the putty smooth. The parts are now ready for the final primer coat.
The final primer coat serves as a base for the color coats. It provides a uniform surface for the color coats to grip. Without primer, most paints will not adhere to resin. After 24 hours the figure is ready to paint. As you can see, I prefer white primer for the parts that are girl and gray for non-girl parts. The white will allow a brighter more natural looking paint job, IMO.