Encapsulating an inductor with epoxy and ferrite powder
can I simply potty it with epoxy mixed with ferrite powder (or perhaps
  iron filings), if I make sure the powder does not create shorts?


Ask yourself why does an AC power transformer have laminated sheets making up the core. Why laminate the core? The chief answer is that the laminates have a layer of varnish that insulate them from each other. This prevents large eddy currents flowing in what would be a solid (and conducting) iron core.

Now power transformers run at 50 or 60 Hz so if you wanted to run at 500 Hz, the laminates would need to be ten times thinner - this is because of the skin effect - as frequencies rise the induced current (due to a finite laminate thickness) progressively is contained in the full width of that fixed thickness laminate. This rapidly reduces the value of inductance and creates losses because, iron is not an efficient conductor.

So, how high a frequency could you run an inductor that is surrounded by a dence presense of isolated iron filings? Each filing would have eddy currents and overall they all might contribute to a possibly significant loss.


  What about potting several of inductors in a section of a board with a
  single epoxy and ferrite blob?


Apart from what I said above, the extra (and quite likely unwanted) magnetic coupling between otherwise isolated inductors might render a perfectly good design as useless.

I wouldn't recommend it as a general case but there will be specific examples where it might prove beneficial.