I assume from your question that you're after a "flat" finish rather than a more organic finish that has a tactile feedback of real genuine wood.
Never confuse "filling" with "sealing"
I use thickened epoxy for most filling and consider it part of the turning process. I put it on, let it dry and turn it off.
Sanding sealer is for filling pores - I spray it on (never on the lathe), let it dry, and then sand for a "flat" surface. My definition of "flat" is without orange peal, pores, etc. Sealing is part of the finishing process and, to may thinking, should not be applied on the lathe nor sanded on the lathe. While that may be canon for my stuff, I know that lots of guys get great results applying wipe-on lacquer sealers on a running lathe. These dry fast and may be sanded soon after. Again, to my thinking, finish sanding on the lathe results in annular grooves that detract.
The above is my opinion and, while highly unlikely, I could be wrong