annodization is a chemical dying process, and as such doesn't actually put a "coating" that can be sanded off. When you "sand" the annodization, you're actually taking material off, and not just a coating like with paint.

The quality of the annodization is all about the prep work. The smoother the surface, the better the results. I used to prepare paintball gun bodies for annodization, and we'd spend two weeks milling, polishing, milling, polishing and more polishing gun bodies just to get a nice anno job.