Kevin,
Competent! Don't know about that!
When your breaking the surface of an anodized piece it's like going into a hardened piece of steel. That surface may be composed of pure carbon depending on the die used for the anodizing. So need some time to break that surface.
The web of the drill or end mill is realy thin. Maybe a good way of expressing this is to say it's like playing pool
with a wet noodle for a cue stick. All it takes is for the drill or even the end mill to walk a small amount because of the surface, along with some run out, and maybe not entering perpendicular to the surface, and you have a broken end mill or drill. So that particular time in machining can be very important.
Oh, BTW, backlash is a real killer on the small end mills.
As far as cutting fluid, well, there are books written about it and recomend taking a look at a Machinist Handbook for different materials. There is also a big difference between a commercial machining center and a what a hobbiest does. Depends on how your applying it. Everybody seems to have their owne secret formula. There are cold air guns, misters etc. and in some cases you don't want to breathe mists from some cutting fluids. The whole idea it to get rid of the chips , keep things cool, extend tool life.
I use WD40 and also WD40 mixed with oil for AL. As for drilling real small holes,.........SPIT.......... human saliva / how gross,

but as a "starting" cutting fluid seems to work better than a lot cutting fluids i tried.

DO NOT USE A SYNTHETIC MOTOR OIL AS A CUTTING FLUID.
Best i can say, is experiment some for what you want to do, based on the equipment you have.
RICH