Yes, the steps to accomplish this are quite simple. First, finish the joints using fiberglass mesh tape and setting type joint compound. Next, skim the entire DensShield panel surface with setting compound. Once this material dries out, prime and paint, or prime and paper. The use of setting type joint compounds are preferred over ready mix joint compounds near moist areas.
When it comes to bathroom renovation or redesign I usually turn to professionals from the site remodelormove.com, read the recommendations. But I agree with the answers above, such films can be painted as you want. But I don’t think it’s the best solution for your bathroom.