Steel is great if built well. Before you go for a steel frame think aobut aluminum. Newer Al frmes, combined with nice carbon forks are really not that bad for riding CX. Frame manufacturers have already realized the potential benefits of the steel and quite a few of them have tried to develop new Al alloys that are sometimes close to the feel of the steel. OVerall Al has a huge benefit whe it comes to rust becasue it doesn't rust. It is not resistant to the salt on the roads but the steel is not either. Ti is the one that is reisitant to both water and salt but it costs a lot. Compared to Al, I think that Ti comes closer to the feel of the steel. Yet, steel is real and we'll have to wait a long time till we get a non-steel frame with steel qualities.
In any event if you want to stick with the steel you can try Surly. Cheap frames, not the lightest but pretty decent. If you're patient look on the wb and you might find a sweet Italian steel CX frame. I found a year ago my Pinarello. Brand new, sitting in a warehouse, no buyer and it was on sale. Sweet deal for even sweeter CX frame.
Use a spray of frame saver (one of those wax based protective coats that you spray inside the frame tubes), then build the bike and there you have it. Make sure that you indeed apply a generous coat of frame saver inside your frame. Beware that frame saver stinks and it takes about 4-5 days for it to dry so be patient.
Hopefully you'll take your bike apart once a year to check, clean and lubircate everything and this would be also an opportunity to reapply the frame saver. The problem is that if some moisture stays inside some of the tubes it can corrode the frame and it can fail on you. I've seen ithappen but on a MTB. My friend used to ride his steel frame MTB everyehere (mud, water, snow... you name it) and eventually one of the chain stays broke due to corrosion inside the chainstay. Yet, steel used in bike frames is indeed high quality steel so it takes a much longer for it to corrode to the point of corrosion. I have a steel made MTB that I've ridden for nine years through mud, water, snow, salty roads... and it still serves me well. The frame was made of high quality tripple butted Tange Prestige tubes and I made sure I coat it with frame saver once a year.
The problem is that if it indeed gets rusty in one of the tubes, it's hard to tell how long it'll last. In many cases you actually don't know if it's rusty till the frame fails on you.
Overall, if you ride a steel in wet conditions make sure you wipe it off as soon as you roll into garage. Dry storage will help you with your frame and honestly it can last you many many years. Make sure you stray it with protective coat at least once a year and don't ever power wash it. Use a dry rug, perhaps a bit of soap and clean it with patientce.