Well, lots of primers are sandable. The key is that what many of us are using as the first coat is filler/primer, or high-build primer. This is the grey stuff with lots of solids in it to help fill in and smooth out surface imperfections. Normally, the goal with filler primer is to sand most of it off, and leave it only in the pits and cracks that it filled in. Because it goes on thick and heavy, and because you need to remove a lot of it, it invariably leads to a lot of sanding effort. Really, for a lot of us filler/primer really isn't there are a primer at all, it's there for its filling and smoothing properties. I often (depending on the topcoat color but also how lazy I'm feeling that day) apply a coat of regular primer over the sanded filler/primer, to provide a nice consistent base for the topcoat.
Regular old primer is usually sandable as well, but because it's not a high-build formula, it goes on in a much thinner coat and is easier to sand. Plus, with regular primer you're usually not trying to remove most of it. Regular primer will (like most paints) provide a *slight* bit of filling to imperfections, but usually not a significant amount unless you apply a *lot* of it.