There are many different firearms finishes available and everybody says their's is the "best in the world". Your choice of bluing over an abrasive blasted surface is a pretty good one. Yes, it will hold some oil due to the non-smooth surface.
Regarding "the best finish in the whole world": Laboratory tests for finishes are designed to accelerate those types of conditions that the finish may be exposed to. For example: One firearms finish is tested with an oxygenated heated salt water spray. This is a corrosion test..to test the finishes durability in salty humid conditions. Nobody has the time to take a finished part out to the sea shore, lay it on the sand and then sit there for months watching it to see if and how much it will rust.
Another test is chemical exposure: Nobody has the time to carry a finished part around aircraft being serviced, the public pool or the auto shop to see if exposure to vapors of those chemicals found in those areas will affect the finish. Hence...the chemical submergence tests.
The results of those tests will give the end user a better understanding of whether that finish or this finish will be a better choice for these parts under those particular conditions. Before using a finish, check out the test results. Note: That's test results, not advertsing hype!!!
Cerracote: They've conducted quite a few tests and have released the results. It's a firearms finish.
Gunkote: They've conducted a lot of tests, are Mil-Spec rated, their finish is not only used by several militaries, it's actually required by a couple and is the only resin that we use. It's a firearms finish.
Duracoat: Uhhmmm...ahhh...ooops! There are NO test results for that finish for use on firearms. They even stopped using the Mil-Spec rating because it wasn't a firearms rating!
Keep yer powder dry, Mac.
Mac's Shootin' Irons