With an alloy bar you'd be limited to welding, so you'd need aluminum bits to weld on. I recommend against any welding on the top region of the bar, as welding will destroy the heat treat, which is critical in the highly stressed centre region of the bar. You could probably get away with it on the curves and the drops though.
If you're talking about brazing steel bits on a steel bar, yer good to go, but any coating on the bar such as chrome will have to be removed in the area to be brazed, prior to brazing. You will be left with areas of uncoated steel which will tend to rust, but you could prep & paint it, or just cover it with tape.