Depending on the thermal spraying conditions, coatings obtained can present different defects, like pores, cracks and/or unmelted particles, and different surface roughnesses, that can affect the determination of the hardness and elastic modulus. The present work investigates the mechanical properties, determined by means of Knoop and Vickers indentations, of a plasma as-sprayed alumina coating, obtained with a nano-agglomerated powder sprayed using a PTF4 torch, in order to highlight how the surface defects interfere into the indentation process. As a main result, Knoop indentation compared to Vickers one gives less dispersive results (15% and 33%, respectively), that are, in addition, more representative of the coating properties. The mean values obtained are 110 ± 40 GPa for the elastic modulus and 1.75 ± 0.42 GPa for the hardness. In addition, and for the two indenter types used, multicyclic indentation has been performed because it allows a more appropriate characterization of such heterogeneous coatings due to the representation of the mechanical properties as a function of the indentation load and/or the penetration depth, leading to more reliable results according to the depth-variability of the coating microstructure.