I'm assuming that you are concerned that your slab is too absorbent and/or is very soft and is chalking up readily [?] In either case, no, do not densify prior to applying an epoxy coating system. DO make sure to use a system that begins with a quality primer. Our systems all start with a 100% solids primer, BondTite 1101 for "normal / dry" slabs (MVT levels at, or below 3.5lbs per 1000sf) or BondTite 1102 for MVT levels above that.
If you have ANY concerns with MVT (Moisture Vapor Transmission) perform simple and cheap
Calcium Chloride tests first. If you have no idea start whether or not you have moisture moving up through your slab start with a simple "
plastic sheet tape down test". If that indicates moisture is present then use the Calcium Chloride test to quantify the amount.
You want to encourage the primer to soak as deep as possible into the pore structure of the slab. As it cures a quality primer will form both a mechanical bond (think of roots of your lawn) and a chemical bond with the various minerals present in concrete. This creates what is referred to as the "bondline", it is this bondline that all the other coats are anchored too.
You can learn more about how these systems stack up here:
3 layer - partial flake
P.S. if your slab is super-duper absorbent (water sprinkled on quickly soaks into the slab) consider upping the quantity of your primer a bit.