Bluing is a corrosion-induced oxidation layer that helps to protect against further corrosion. However, when polishing with steel wool, you are leaving traces of the steel wool behind, as well as scraping away at some of the oxidation. If these traces of steel wool rust, it has a much easier time spreading to the metal finish of the gun. Yes, steel wool can remove rust, but it will encourage future rust unless the surface is then polished clean with another polish. Ideally you would then want to refinish it as well.
