Sorry dude, I have been meaning to get back to you on that from the last go around but I keep forgetting.
I don't use MDF for models but mine are built for a very different purpose then the dioramas. Mine are in sense, planning models and are not intended to be permanent. I use what ever I can that is cheap and fast, because they are really just used for planning. I try to keep mine functional and light so that when they need to be shipped it cuts down on weight. Also the cheaper the materials, the more money I get to keep from my design fee. Very rarely do I get a budget for models, drafting, and paperwork. And with the University, it all comes out of my pocket. I use mainly mat board and foam core for all of my models major structures. Also things like different weights of papers and bristol board. 1/4" scale is so small that you have to be really mindful of scale, so even simple printer paper is often the right size. When it comes to details, there is stuff called scale lumber, which is designed for architects, railroad, and designers. The great thing about it is, if you want a 2x4 in 1/4" scale, you can just buy them already made. They even have a chart showing the different scales like 1/8", HO, 1/4", O, and the like. Problem with them is in real life a 2x4 isn't 2x4, its really 1 1/2"x 3 1/2" so the scale lumber is a little too big for what the real life application. But it saves a lot of time and that is why I use it. And then there is a gambit of anything and everything for the rest.
If I were to build dioramas, I think I would like 1/4" MDF a lot. It is flat and straight. Its less likely to warp, unlike a lot of other sheet goods. When cut, its sharp and precise and wont splinter. I use it a lot when building furniture for those very reasons. Just make sure and pre drill when screwing because it will bubble. Its such a dense material that really anything that goes into it will cause it to swell around the fastener. Even little things like brads. Feel free to pick my brain on anything. I have spent the last 12-15 years building models for theatre and so I have a really good working knowledge of the good and bad to a lot of things. That really goes for anyone interested.