Having owned both the Gaggia MDF and the Rocky, I can say that the Rocky is a considerably nicer grinder. I used the MDF for five years with my old Gaggia Espresso, and it was maddeningly inconsistent. Sometimes I'd get a decent shot, but a lot of the time my shots went straight into the sink. Part of this was due to my ignorance and poor technique, but I think it had a lot to do with the grinder too. The MDF doesn't have fine enough clicks to tweak the grinder for different kinds of beans, freshness of the beans, etc.
When I switched to the Rocky, I was shocked how much better my shots became. Tons of crema, tiger flecking, and much more flavor and nuance in the cup that I never noticed before. Now, I hardly ever have to throw a shot out once the grinder is dialed in for the particular beans I'm using. And if a shot does run a bit fast or slow, one click will usually dial it back in where it needs to be. So even though the Rocky is almost $100 more than the MDF, it's well worth the extra money.
Either way though, you should notice a big improvement in your shots with any serious burr grinder. Don't despair because you can't get a good shot right now. Gaggias have large 58mm portafilters and demand a fine, consistent grind and proper tamping for a good result. In other words, don't upgrade your espresso machine, just get a good grinder! And don't forget to use high quality, fresh beans.