They've been anodizing aluminum for far longer than there have been machined rims. They didn't always dye it colors, but anodized bike parts weren't introduced just before machined rims.

To me it seems machined rims made their appearance not long after colored anodizing became popular in bike rims, and save for a very few colors, the only difference between natural and color anodizing is that the colored part is dyed.

IMHO the colored rims showed shiny bare aluminum streaks on the brake track much worse and machining at least made them look uniform because the whole brake surface was an even, shiny, bare aluminum color.

It's not good to just anodize more thickly because anodizing can severely cut fatigue life-in fact it always cuts fatigue life, but this fact is counterbalanced against the fact that it fights corrosion, which would cut fatigue life even worse. So, instead of laying it on thicker, they went to machining.