The steel ones might be easier to solder with the right flux, because they transfer heat less.
I thought about how to do this properly alot. copper spot welding does kind of work. I thought to spot weld a copper shim to the body, so it can be bent into a U shape laying on the side, so you can solder a part to it with only a reasonable amount of heat, and minimum extra inductance, and after you spot weld it to the shim, bend and squash it into place along the center conductor. Spot welding copper to copper sheet does seem to work, but I have not tried thin to thick bonds. Or, spot weld a nickel strip, and then pen plate it with copper.
It seems like the assembly of these loads is the hardest part, there is alot of options, but everything solders like crap.
Another option is to maybe bolt a fabricated fairly thick copper shim with a hole in the middle to the conductor with alot of tiny bolts, and solder a resistor to it, so when you bolt it down you only need to solder it to the center pin.
I imagine in almost all the cases, the resistors are severely stressed by the huge thermal mass of the connector, its not getting anything close to a proper solder profile. I wonder if it has a adverse effect on the RF properties of the part, like reduced stability.
Or indium.

The fact that the soldering profile is so out of whack makes me feel like all of the DIY standards are flawed compared to whatever magic they use for proper ones, but I think there is some solution that will solve this problem and let you confidently solder a expensive RF resistor down without violating its soldering spec.
And if this was figured out, you could try to use whatever connector you please, not the one you have to find does not start spewing plastic during the soldering. For the higher frquencies, I think teflon might even be disturbed because of the giant thermal mass of the chassis connector, which is designed to be screwed in.