First question is yes, but it's more complicated than that. It would be much easier to but a P226 in .40 or .357SIG and downsize the caliber. All you would need is a conversion barrel and mags. If you try to go the other way, you would need to buy a slide as well. The slides for the .40/.357SIG are larger to accomodate these calibers. The 9mm slide is smaller and there is no conversion barrel available to change out to the larger calibers.
By dovetail I presume you are making reference to the "beavertail". Dovetail is the term used to describe the slots on the top of the slide where the sights are affixed. As a seperate part to purchase from a vendor, no you cannot just buy a frame like that. You would have to buy an Elite or other model that comes with such a frame from the get go.
The P229 is vitually the same gun, in specifications. It is a little shorter in length and a little shorter in height. The mags in a p226 will fit a similarly calibered P229. A slightly shorter sight radius due to the shorter overall length too.
Perhaps finding a CPO (Certified Pre-Owned) SiG for something a bit cheaper. They are usually department turn ins. They go back to the factory for a full inspection and replacement of any worn parts before being sent back out to the commercial market. Generally about 30% off the brand new price of the same model and it comes with a 1 year warranty.
As for the next couple of questions, you would have to first determine what your intended purpose for a firearm would be. As to a specific make and model, well there are a number of threads available to help you determine what may be best for you and your needs. As a general guide, if you do not have any idea, seek out a range or similar facility that teaches an NRA "First Steps" class. Then get your hands on as many as you can before you buy to get a better idea of which ones do and don't fit and feel comfortable in your hands. If there is a facility or opportunity to "test drive" some of these, do it. Be it friends, range rentals or whatever. This will also give you direct feedback on which caliber you shoot best. There is a lot of talk about .40. It's the new chick in class. I've tried it in many makes and models and, IMO, I'm not impressed. 9mm suits me better and is a little cheaper than .40 generally and more affordable means you can buy and shoot more of one than the other. It's basic math
Accessorizing out of the box? Well SiG as well as many other offer models that come with night sights. Again you will have to determine what your intended purpose will be before you start fashioning or tailoring you gun to best suit.
Most modern handguns these days have a finish that will resist rust and other forms of corrosion if properly cleaned and maintained. I wouldn't get all wound up about worrying about rust and such until you get up to speed on the other points brought up. Do some homework. The best decisions made are well informed ones. Get opinions, go to gun shops, got to gun shows, take a class, gather as much information as you can. Take opinions with a grain of salt as they are generally the personal preference of the person offering it. Everybodies hands are different sized and different things feel comfortable to some but may not for others. You will have to determine that for yourself.
When you feel you have all you need to decide what fits and feels best in your hands and for your needs and intended purpose, then you'll be ready to make the purchase. Be sure to post an update when you do decide. I have my preference and others will have theirs. I do not personally say "you should get (this) model or (that) off the bat. It's about personal choice based on whatever you factor into your decision making process. What will work best for you may not be what works best for me. Good Luck and ask away on anything else you may have questions about.
Maybe see my post here for more info: http://www.handgunforum.net/showthre...643#post135643