Anodizing interferes with thermal conductivity. If you were going to push the MT-G2 to the edge, I would remove it. With those cells, you will probably only hit the 5's (Just throwing out a number. I haven't compared the Vf of the LED to the voltage sag charts of the cells to get a real estimate). So I wouldn't worry about the anodizing. You should uses a flat disk and wet sand to make sure the shelf it somewhat flat. That will remove some of the anno, but it's pretty tough to sand off anno off an integrated shelf.
EDIT: Looked up the charts. Looks like you will briefly do 10ish amps, but probably won't that last long enough to worry about. Here are the charts with links to the threads:
