Have you looked into Thomson Shaft? If I remember correctly it has pretty tight tolerances. We used it in the machine shop I used to work at. I believe a lot of what we got was 1045 case hardened but if I remember correctly you could get it in 4140. I am unsure of the pricing on it though.
I had thought about that, could always grind through the hard and put in the keys. May be an option. Have to see how true this other one is.