Sorry, I found out you fellas were right.
My rims are anodized instead of painted.
The place I got the bike said it was paint, but I just checked their websites bike specs and it says anodized.

"Weinmann ZAC1800, 32H, Aero Track DoubleWall, black anodized"

I understand that if I sand/chemical the anodization off, I'll be removing a thin layer of aluminum.
But, it shouldn't be enough to cause much structural damage, right?
These are just the cheapy stock wheels it came with, so I'm not super concerned about it not looking brand new at the end, just so long as its not black anymore and the rim won't fail.

Thanks for all the info!