Phillip,
I don't think you're sanding properly, I had the same problem a while back and at some point it just hit me. You need to make sure you take off all of the low spots(they appear as shiny streaks or scratches) on the 1st sanding. Here's my procedure, although it varies depending upon how smooth I get it applying the CA:
Always apply 1 coat of thin to act as a sanding sealer after final turning. I start no less than 500, as a skew should get you close. I then move to 800, then 1200. Not alot of sanding, just a few passes. I always cross sand between grits. I then apply about two coats of thin then two coats of medium. I then sand with either 500,800, or 1200 starting out, then up to 1200. When I sand, I make sure 90% of the shiny streaks or spots are gone. Next, apply 3-4 more coats and repeat the sanding....I finish with two more coats, then start the sanding process again. This time, removing 99% of these marks. I sand up to 1200, then to micromesh. I top it off with Scratchx and 3 coats of Huts polish.
The key for me to remove the finish marks was to make sure during my final sanding that all of the shiny streaks and spots are gone by the time I get to 1200. No sense in going to micromesh if you have these marks. Micromesh will not remove enough material to flatten the surface. This made a huge improvement in my finishes. Another thing, I switched to real micromesh.....PSI, Woodturningz, CSUSA and others have it. I was using Hobby Lobby mesh and it cannot compare to the real stuff.
Just my process, perhaps some of these tips will help you. The key is developing a process that works for you, not one straight off of a website. You really got to understand what you are doing and adjust to get the results you want. The version above is my general procedure, but I adjust every time and change it slightly depending upon the wood, ripples in the finish, humidity, temp, etcc.....
Good luck!