it wont actually melt, its because the solutions used to anodize are acid solutions, and any other metal will/could actually disolve in it (like potmetal...)

But they are always alternate solutions for that, you could always call the anodizing shop and ask if he can anodize steel..... ;)

You can oxidize steel to several colours (not stainless steel), but the array of options is limited. Besides plating, the only other thing you can really do is just a black oxide finish. It won't be shiny in any way.

If you want a wide range of colour options with varying gradients, go with aluminum. All it takes is acid, electricity, and some food colouring. It's not so easy with steel.