I am fairly sure that's just the aluminum particulate matter you're rubbing off. It won't turn white immediately because there may be some sort of cleaner or detergent in there which prevents oxidation by coating the surface of the particles.

I am wondering if it's possible to polish the surface of an anodized coating and get it shiny before rubbing through. I guess I'm just going to have to try it.

Unfortunately, there may be a wide variation in coating thickness.