Well, for starters, a cold rolled shaft in comparison to a forged shaft (for the moment leave the welding piece out) will exhibit directional mechanical properties. The reason for this directionality in mechanical properties is in how the materials were formed - forged versus cold rolled. Forging tends to produce a more uniform grain structure in cross section versus cold rolling that can result in a variation in grain structure thru the cross section of the shaft.
Now, taking the comments by NickE and adding the welding piece, you need to decide what you need to compare between these different alloys and wrought product forms. I would presume you need to evaluate tensile/yield strengths and fatigue strength for your application.
Mechanical properties for the alloys you listed (4130 and 4340) will respond differently to heat treatment because of the difference in alloy content, so check into the heat treatment condition of both product forms.