Expansive bits are usually made of chrome carbon steel, a type of tool steel with a slight resistance to corrosion.
This type of material is not as hard as the high speed steel (HSS) used for some other drill bits, and so expansive drill bits are not suitable for boring through materials tougher than plastic.
The tip of an expansive bit and its adjustable cutters are tempered, a process that involves heating and cooling metal to increase its hardness. This helps the cutting edges to keep their sharp edge for longer.
Most locking screws are made from zinc-plated steel. The zinc plating is added for cosmetic purposes, to prevent the screw from being too badly scuffed when it comes into contact with a screwdriver.
Other than their zinc-plated screws, no coating is applied to expansive bits, as the bit itself is hard enough to stand up to the material through which it bores.