Mark is correct that generally, most original locks were case hardened and then polished bright. Some fancy European and late flint period locks were left with the case hardened finish. Upon close inspection of many original guns, you can tell that the locks were once brightly polished.
I think a bright lock and barrel combination looks best when it's had a few years to mellow out with some light surface rust (hard to duplicate when building new). The original guns we see that are still looking "shiny" have a mottled bright/brown appearance, suggesting they were also finished bright to begin with.
Yes to leaving the face of the frizzen untouched
Today, I've seen just about every combination of barrel and lock possible - I don't think there's a wrong way to do it, well, don't fire blue the lock to look like a robin's egg at least
. If you're going to rust blue the parts, they don't need to be polished like crazy, just get the file marks out if you can. If it's too shiny then the rust will have trouble starting.
-Eric