I think that you have to think thoroughly about what the build will be used for, what the end result is in your mind, and if you may change things down the road.
Is it going to see lots of water on the road, road grime, salt and mud?
Are you good about washing your truck?
The more harsh the future conditions, the more you will want to get it sealed against corrosion.
I personally haven't completely disassembled a frame to clean and coat it all, but I don't live in a humid area that tries to rot everything.
If I did knock out all of the rivets and pull it completely apart, I would try to keep the coating mil thickness to a minimum before assembly. I have been taught that paint in between some mating surfaces can let movement begin.
But doing a final finish coat can be challenging, but in a different way when compared to painting a everything in pieces and then assembling.
So I just left mine riveted together and primed as soon as possible after blasting. Some paint and primer combinations will let you shoot paint without scuffing the primer, it just needs to be applied in a specific time window.
Good luck with your project!