I'm fairly certain that the anodization is only cosmetic and isn't critical to the structure of the rim. However, if the anodization looks like it's cracked, most likely the crack originated in the aluminum rim itself. It's unlikely that the anodizing would crack on it's own.
It's just like when you're inspecting a frame for damage. If you see a wrinkle or a crack in the paint, it's a good bet that there's damage to the frame beneath it.