If it is anodized, then it shouldn't be flaking off, but it can get scratched (although the anodized coating is pretty hard, as it is aluminum oxide.) If it is painted, you might want to strip the paint.
As has been said above, any paint will add an insulation layer to the surface of the heat sink, which will increase the thermal resistance between the heatsink and the air. However, a
very thin coating of black
matte paint will likely increase the amount of radiation heat transfer from the heat sink (bare aluminum is a lousy radiator.) The increased radiation, may have a bigger effect than the increased thermal resistance, and you might get an improvement in heat dissipation by painting. Heat transfer principles are fairly easy to understand, but the details are very complex to model accurately, and every configuration is different.
Black paint (remember
thin &
matte), will be more effective if you don't have a fan blowing air along the heatsink fins. If you have a fan, then radiation cooling will play a smaller part, and the paint will not be as beneficial.
Whatever you do, don't paint the contact area between the SSR and the heatsink, and do use a thin layer of thermal compound there.
How's that for a non-answer?
Like I said, there aren't very many simple or definitive answers to general questions when it comes to thermal transfer. It always comes down to it depends (on all the details of the configuration.)
Brew on