It simply means that you either needed another application of grain filler, or you didn't sand it flat enough afterwards. It is really hard to see a lot of imperfections until you put some paint on. Also, unless you've put some sanding sealer on first, the paint will sink into the wood to start with.

You are going to need several coats of primer, enough to sand it back to flat without breaking through back to the wood. This should smooth out those imperfections, though you could do it now, after the first coat has dried and do the worst of it, then let the next coats fill in and small dimples left.

Only use dry paper for the primer, but the colour and clear coats can be wet sanded between coats. However, avoid water getting into any holes already drilled into the wood as you don't want the wood to swell and then crack the paint finish, so plug them as well as possible.