Drill rod is high in carbon and is intended to be hardened but it doesn't have to be. It is rated such as W (water), O (oil), and A (air) for how you indend to quench it during the hardening process. It is a littler tough to machine but still does well as it is in it's soft state so to speak.
The metal at Lowes is most likely a low carbon metal such as 1018 with a protective coating to retard corrison. It can not be hardened and the protective coating would make it a poor candidate for case hardening if necessary.
By the way, drill rod is ground so it has closer tolerances than the plated material. So it may be a better choice if you're looking for accuracy even if you don't intend to harden it.