We actually buy some powder coated MDF components on a somewhat regular basis. I believe that it's far more difficult to do than powder coating metal. The MDF needs to be preheated before coating to prevent outgassing during baking. It also needs a low temp powder. And I've heard that climate control of the MDF is critical.

The supplier we've been using does outstanding work, and it's really an amazing product. We haven't done any destructive testing, but it appears to be far more durable than any other finish you could put on MDF.
While it's fairly inexpensive, we've found that you do get what you pay for. We got some samples from a (much) cheaper supplier, and their quality was not nearly as good.
If you can find a shop that does it in your area, you might be surprised at how affordable it can be. I'd highly recommend it.