Micromesh is really designed for final polishing, so if you start on a coarse grit, you really need to continue to work your way up through the grits until you end up at 12000. that way any scratches caused by the coarser-end grits will be removed by the finer grits (or rather, replaced by finer scratches which in turn get replaced by even finer scratches etc.) .

But you also need to choose the grit size with a purpose in mind. If you still need to flatten the finish because its got bumps and dips in, then you are going to need something fairly coarse to take off enough material to do that. You only really want to do this before a) applying a colour finish and b) after the colour finish has been applied but with enough clear finish on top so that you don't sand through into the colour, and risk removing a layer or even scratching though, back to the wood. But if it's already flat, then start on a finer grit, and work up from there. If you've got the odd lump of something sticking out, then you can very lightly run some fine paper over once or twice, which should drag it off - but even then, the finish should be hard/dry enough (especially with lacquers and paints) so that the lump doesn't pull several layers of solvent-softened finish with it.