1. Style. Aluminium is notoriously difficult to paint. Anodizing allows for a range of colours, w/o any weight penalty and with a more durable result.
2. Weather-proofing. Anodizing does render the rim more corrosion resistant. As a 4-season rider in a place where winter means salted roads, this means both better rim life and better aestethics.
3. (speculative) Brittle also means stiffer. And there is an advantage to stiff rims - assuming you get the properties right.