I use finely ground annatto seeds frequently when making Latin American recipes. In addition to the reddish-orange color it imparts, it has a pleasant nutty and somewhat earthy flavor. That said, I don't believe that I've ever added it to a commercially prepared rub, but it should work fine.
The seeds are very small and like very hard pebbles which are almost impossible to grind properly by hand with something like a mortar and pestle. I use a dedicated electric splice blender, and even then it takes a little while to make sure that they're all completely ground. Also, the finely ground powder will easily stain anything it comes into contact with. Use caution, and immediately clean your grinder afterwards.