It's not necessary to the functioning of the robot, and over their lives, our robots are not subject to any hazards from which power coating and/or annodizing will protect them.
Then again, as Billy Crystal used to say in his impersonation of Recardo Mantalban on Saturday Night Live: "It is better to look good than to feel good"
On yet another hand, there is nothing that looks as shabby as a powder coated robot that has been banged around, chipped, etc. And as noted in a previous post, unless you can turn your powder coating/annodizing around pretty quickly, having your robot out for a few days to make it look pretty can really hurt in a 6-week schedule.
In the end, like most other decisions a team makes, its a trade off. If looking pretty is important, and you like the look of powder coating and/or annodizing, and you can protect the robot finish as you work on the robot, and it doesn't impact the schedule negatively, go for it.
Personally, I like the honest, functional look of bare metal.