Some peonies are extremely susceptibles to powdery mildew (among mine Copper Kettle is always the worst affected) while others seem unaffected (MacKinac Grand). There's really not much you can do to prevent the disease: you can run the cleanest, tighest garden in the Western Hemisphere but if there are any powdery mildew spores in the neighborhood, they will find you.
The only thing you can do is being vigilant, and at the first sight of powdery mildew in your garden (there are even more susceptibles plants: when those show the first spots it's time to act) spray all susceptible plants with lime sulfur. It will stop powdery mildew dead in its tracks.
However know that powdery mildew will represent itself time and time again as lime sulfur gets washed away and new spores get released: it's just a matter of repeating the process. This year around here it was a veritable headache and I had to spray lime sulfur four times: thanks a lot to people who try growing pumpkins and squashes without ever spraying them "because chemical stuff is bad".
There are systemic fungicides which provide longer lasting protection but in my experience they are not as effective as lime sulfur is: the old (and dirt cheap) stuff is still unbeatable.