If we do only consider pandigitals with at least three digits in the base b representation, then the set of numbers that can't be written pandigitally is indeed infinite. Unfortunately I only have an existence proof for this, so I don't know any way to actually construct such numbers. Anyway, the proof follows (read at your own peril):
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In short, we're going to show that the number of numbers less than N that can possibly be expressed pandigitally is much smaller than N for sufficiently large N.
If we have a k-digit pandigital number, with digits d_1d_2d_3 ... d_k then by varying the base b, we can get all numbers of the form d_1b^(k-1)+d_2b^(k-2)+d_3b^(k-3)+...+d_k. Note that all such numbers are > b^(k-1), so if the number is less than N, b^(k-1) must be less than N. That gives us, at most, N^(1/(k-1)) numbers for each arrangement. There are k! arrangements, so we have k!*N^(1/(k-1)).
Now, note that b is at least k, so k^(k-1) must be less than N. Let k' be the largest k s.t. k^(k-1) < N. Now, we are summing (k!*N^(1/(k-1)) from k=3 to k=k'. Actually summing this would be a pain, so we'll make another observation - the function f(k) = k!*N^(1/(k-1)) is convex for k>1 (*). Now, since the maximum value of a convex function occurs at its endpoints, the sum is less than k' * f(k) for k = 3 or k = k'.
Now, if the maximum is at k=3, then f(k) is 6*N^(1/2), and since in order for 6*k'*N^(1/2) > N, k' would have to be on the order of sqrt(N), which is absurd seeing as k'^(k'-1) < N. So if the maximum is at k=k', then f(k) = k'!*N^(1/(k'-1)). Now, we assume that we take N large enough so that Stirling's approximation for k'! is reasonably good, and replace k'! with (k'/e)^k'. Now, f(k) = (k'^k')/(e^k') * N^(1/(k'-1)). Since k'^(k'-1) < N, k'^k' < N*k'. Also, we chose k' s.t. k'^(k'-1) < N and k' is maximal. So N^(1/(k'-1)) < k'+1. With these bounds, we get
f(k') < Nk'(k'+1)/e^k', and the bound for the sum we desire, k'*f(k') < Nk'^2(k'+1)/e^k'. Since the denominator is exponential, if we take sufficiently large values of k' (which is possible, by taking sufficiently large values of N), we can get k'*f(k') < N/a, for a>1 - in other words, we can get that for any a, for all sufficiently large N, the number of pandigital numbers less than N is less than N/a.
(*) You can probably show this by applying some approximation and then differentiation, but it also makes sense intuitively since first f(k) decreases since the N^(1/(k-1)) term is decreasing rapidly. Then, at some point, N^(1/(k-1)) starts stabilizing at around 1 and k! is still growing rapidly, so f(k) starts to increase again.
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Meh, that was a pain to write up (and probably even more of a pain for anyone who tries to read it). But it should be correct, hopefully

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As for the prime thing, it's most probably true, but probably very very hard to show. Reason being, if you take almost any k-digit pandigital number, like 123, then there will probably be an infinity of bases in which b^2+2b+3 is prime. But if you could actually show that, then you would have made significant progress towards solving
an open problem. Of course, you do have an infinite number of polynomials to choose from, which probably helps, but pandigital numbers are pretty random.