They will rust, and from my perspective, they are a wear item that needs to be replaced periodically. However, you can slow the rusting by removing the grate and storing it with the other two grates either in the house or in a separate shed. If not practical, make sure you clean all ash out after use, dry the unit and keep covered to minimize the accumulation of moisture in the WSM.
I store my unit outside all year around and really have only replaced that grate once in 5 years.