Axle and drive shaft rust?

Yep, they all do it, they are not painted from the factory.

It never seems to hurt anything, so I don't worry about it.

Except on my toy, where I have usually at least pressure washed and painted the axle and driveshaft. This makes them easier to handle when you remove them. I also coated my Ford aluminum driveshaft with clear.
 
POR 15 the fool out of it, nothing will ever rust again, that stuff bullet proof lol.

POR15 is some pretty badass stuff. However I wouldn't put it on the driveshaft. I know some people who used it on their driveshafts, put it on too thick, and the driveshaft ended up out of balance. I know it sounds crazy but trust me on it. Just scuff everything up with 220 and hit it with a few coats of Rustolem.