Is untreated aluminium suitable as an LED heat sink?
The way you screw the U is to drill a hole the size your screws need through BOTH sides, then a hole big enough for the screwhead/screwdriver through one side, following/enlarging the first hole, only on one side. 

Or just the screw-sized hole through both and screws 30mm longer.

Or angle the mounting holes &amp; screws into the back from the open side of the U.

I doubt you need to "treat" it with anything.