a) XRD taken from the coating ( e.g. a (thin) film) on top of a substrate:
XRD peak intensity (height) increases with coating thickness up to about two to three times the penetration depth of the x-rays in the coating material (theta dependent).
b) XRD taken from material behind/underneath the coating:
x-ray attenuation of the coating will cause a reduction of the XRD peak height(s) from that material; with increasing coating thickness d the peaks will go down until they vanish in the noise. This will be achieved for d being equal to about two to three times of the penetration depth of the x-rays in the coating (also theta dependent).
For the meaning of 'x-ray attenuation' and 'x-ray penetration depth' and how to calculate them, you may have a look at the presentations listed in the publication section of my RG home page ...
With thickness the intensity should increase in case the stable nature of the coating is crystalline.
When the coating is thinner, with the lattice mismatch (in case it is present) with the Substrate, the coating tend to be strained which leads to its amorphization or partial crystallinity.
While for a thicker coating, the lattice mismatch only affect a portion of coating near the interface, after a certain thickness the coating tend to get more and more crystalline leading to an increase in the XRD peak.
Yes, it is true because after coating the material, the space between the layers is covered and the created coating prevents the strong reflection of the light spectrum, which you can see an example of this comparison in my article: