I see rust on Jungle Gym screws

Currently Jungle Gym hardware is made of steel with yellow zinc-plating, which is a common method used to protect steel from corrosion. Yellow zinc-plated steel is often used in various applications where corrosion resistance is required. Amongst others :  outdoor equipment.

The zinc coating acts as a sacrificial layer, meaning that if the steel is scratched or exposed to corrosive elements, the zinc will corrode before the steel, providing protection.

Although yellow zinc-plated steel provides corrosion resistance, it is not completely immune. In combination with treated wood, the surface may show signs of corrosion.