Polished Steel is actually pretty rust resistant to a point.
Most locks come from the factory a dull textured gray. The casting ridges need to be filed away and smoothed.
It's up to you how you finish it but polished locks were very common if not the norm, late 18th Century very early 19th Century.
In the 18th Century English locks were case hardened and the colors polished off leaving the lock bright. later in the 19th Century case colors became fashionable and were left on the lock.
One caution though about polishing a lock. Use handtools like files and always back your sand paper or emory with a straight edge. It's very easy to obliterate the details and round off the edges if you're not careful. This is magnified 100 fold if you use a power tool like a Dremel.
Bottom line... If polishing a lock, do by hand. Locks polished by a power tool look just like, well, like they've been polished with a power tool.