The Frost finish is more firmly-pressed into the pan but doesn't have fallout, is often pigmented, and blends out well enough. It can be easy to mix the finish up with the Velvet finish, which has more of a sparkle-over-matte effect but are more powdery than the true Matte finish. They tend to have very low sheen but are quite blendable with medium to opaque coverage. The Satin finish is few and far in-between, but it is softer and more yielding than the Matte finish but performs similarly. They are the old school version of an eyeshadow "topper." I would recommend applying with a fingertip or applying with a dampened brush to get smoother, more even coverage and minimize fallout. Lustre finish shades can suffer from fallout during application, too.
The Lustre finish is designed to have sheerer pigmentation, and it often has more sheer to medium coverage with a drier, dustier consistency that can be hard to apply with a dry brush. Some of the newer matte finish shades have had a more velvety quality to them that gives them a softer feel but aren't powdery these have been easier to blend and are often more pigmented in one layer.
The Matte finish tends to have a firmer press and a bit of thinness compared to other matte formulas on the market, so MAC matte eyeshadows tend to build up better and have better wear-time without fallout as they're not powdery at all.
In general, the permanent line has been more consistent in performance-and higher performance at that-compared to limited edition launches, but it can really depend.
The formula is supposed to be a "highly pigmented powder" that goes on "evenly and blends well." MAC eyeshadows run the gamut from total failures to long-time, cult-favorite staples.