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Both are fine for frame and slide and have been used for those applications for decades.
410 is stainless, 4140 is carbon, depends on personal preference really.
No, 4140 is carbon steel and will be blued/parkerized or some other form of protective type finish, will need to be oiled as well to prevent rust.
400 series is stainless steel and be better corrosion resistent, and will be polished or matte finished by blasting/tumbling, or occasionally nitrated, painted, etc.