From the Olympus website...
For light plastics or light organic materials, penetration is on the order of mm or cm. For heavier plastics (like PVC), or plastics with metallic additives (like Ti, Zn), or aluminum alloys, penetration is on the order of a few mm. For heavier metal alloys (Ti, Fe, etc) penetration is on the order of 100s of um, and for the heaviest metals (gold, lead, etc) penetration is a few 10s of um.
Testing through a surface layer, whether it be corrosion, contamination, paint, or an anodized surface, depends on what is in the surface layer, how thick it is, and what elements are being tested in the substrate layer. It is always preferable to clean off a surface coating and test bare substrate. Surface coatings can partially or completely shield the substrate elements, and this is especially true for lighter elements like Mg and Al. If the surface coating is thin and the substrate elements are heavier (e.g. Pb, Sn, etc) then testing through the coating may be possible, though a user should validate that this is possible. Again, for best results it is always better to test a clean and uncoated homogeneous sample.
Cheers.