I take back the statement. Check out this link:
MATERIAL SPECS
They suggest that the surface coating will happen in normal air, and a light rust will protect against further corrosion. Seems like you should not remove the rust, but rather just deal with the finish.
I don't like that answer, but a few other sources say similar things.
Borla uses 304, I've seen some pricey systems use titanium. Cheap exhaust is aluminized steel. This is the first I've ever heard of 409, but apparently it's the go-to material for exhausts because it's inexpensive, relatively corrosion resistant, and weldable.