That's right, because Aluminium "rusts" (oxidises) instantly on contact with air, or pretty much instantly...which is why Annodising works the way it does.
Which is why when you polish anything made of aluminium, eventually it goes grey, because the oxide layer has built up.
So, all the threads will be oxidised and because the oxide layer already exists, it should protect it from moisture impregnation.
True, any aluminium once cut and exposed to air will oxidise almost instantly. HOWEVER, the oxide layer is usually quite thin, and its easy to scratch, which is particualrily important around threads, as the contact between threads when screwing things in often breaks parts of the oxide layer. Important, because when you thread a reg in with some kind of thread locker, the oxide layer is broken and sometimes (dependant on locker) does not reform the oxide layer and is now air-sealed. Why is this important? Because almost all thread lockers are (very) slightly susceptible to moisture absorbtion, meaning any moisture in prolonged contact with the thread locking compound could be transfered to the exposed (unoxidised) parts of the threads, causing rust.
Of course, this is more or less academical for paintball - I've only ever heard of this happening with pressurised water cylinders in industry... however I've also never heard of a paintball cylinder full of water!
And the other point I didnt think of - careful you dont get water in your guns air system! I'd say pressurise the cylinder and hold it upside down and empty it, but I'm not sure thats too good for the reg. Probably a reg-out job. But thats more Tom Allens kinda expertise... I'll stick to the engineering