The Dutch international defender was given his first outing in a Sunderland shirt after joining from Chelsea last week for an undisclosed fee.
He completed 82 minutes in a lively display in Portugal, as the Premier League side were ultimately undone by Lucas Cavallini's strike in the final minute.
Gus Poyet's side had expected a tough workout against a side that finished fifth in the Portuguese top flight in 2013-14.
But they enjoyed the better chances - going close on several occasions in the first half as Adam Johnson's pull back was wasted by Billy Jones, before Steven Fletcher failed to get on the end of a flighted ball into the box.
They continued to press after the break, with Van Aanholt just off target with an effort before he was replaced with eight minutes to go having been rewarded with a warm reception from the travelling fans.
There was concern for Poyet when Lee Cattermole limped off after being caught by a late challenge from Joao Aurelio.
And with a minute to play Sunderland were caught out at the back as Lucas arrived to meet a cross from the left to fire beyond Costel Pantilimon.