MDF is also really, really
heavy....something to think about if you have to remove the canopy for maintenance, replacing light bulbs, etc. I did a mosaic on mdf and it was a royal pain to seal enough so that I could grout over it. It gets used for kitchens and bathrooms because it is cheap, sturdy and gets covered by something else for water protection and looks, but watch out if it gets wet!
Polyurethane is great for sealing, but if you really want to go hard core, particularly on plywood, seal all the pieces with epoxy, then assemble and paint. Boats are built this way, and they get the worst water and UV
exposure you could imagine! Sheet ply boats sealed with epoxy will last as long as fiberglass with proper maintenance.