What intimid8tor said on anodizing, once it is milled it is a firearm and to leave it at a anodizer after milled they would need to be ffl, and even then they would probably want serial numbers. As to mill after anodize, the internals are never really exposed to the elements and the area that is milled on the inside usually has oil on it due to living the gun. Hard anodized metals are usually very insulating, meaning that they don't conduct heat or electricity well. This is especially useful for applications that require the part be used at high temperatures. The coating is also chemically stable and non-toxic.
As with decorative coatings, hard anodized surfaces can be dyed, although, in most cases, they are left as is due to the purely functional nature of most of the parts involved. They are, however, often impregnated with performance enhancing additives such as TeflonŽ which improve the part's self-lubrication. In some cases, they are also sealed in boiling distilled water or dichromate solutions to further improve their corrosion resistance.
Metal that has been anodized has a much lower fatigue strength, meaning that it's more likely to fracture when put under stress, although this can be improved if the item is sealed. Sealing the item can reduce its resistance to abrasive wear, however, so whether or not a part is sealed often depends on its final use. Anodizing also does not protect thinner metal items from damage like dents. The outer coating does make the metal part thicker, which can be a problem if screw holes or other spaces are pre-drilled.